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<SEC-DOCUMENT>0000930413-06-005151.txt : 20060707
<SEC-HEADER>0000930413-06-005151.hdr.sgml : 20060707
<ACCEPTANCE-DATETIME>20060707150455
ACCESSION NUMBER:		0000930413-06-005151
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		6
CONFORMED PERIOD OF REPORT:	20060430
FILED AS OF DATE:		20060707
DATE AS OF CHANGE:		20060707
EFFECTIVENESS DATE:		20060707

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK INCOME TRUST INC
		CENTRAL INDEX KEY:			0000832327
		IRS NUMBER:				133463349
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05542
		FILM NUMBER:		06951050

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		888-825-2257

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

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKSTONE INCOME TRUST INC
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>c43027_ncsrs.htm
<TEXT>

<HTML>

<HEAD><TITLE></TITLE></HEAD>
<BODY>

<center>
  <p align="center"><FONT face="serif">UNITED STATES </FONT><BR>
      <FONT face="serif">SECURITIES AND EXCHANGE COMMISSION </FONT><BR>
      <FONT face="serif">Washington, D.C. 20549<br>
      </FONT><BR>
      <B><FONT size=4 face="serif">FORM N-CSR<br>
      </FONT></B><BR>
      <B><FONT face="serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED<br>
      MANAGEMENT INVESTMENT COMPANIES</FONT></B></p>
  <p align="left">
      <FONT face="serif">Investment Company Act file number:
    <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;811-05542&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u></FONT></p>
  <p>  <FONT face="serif">____<u>BlackRock Income Trust, Inc.</u>____ </FONT><BR>
      <FONT face="serif">(Exact name of registrant as specified in charter) </FONT><BR>
    </p>
</center>
<TABLE width="100%" border=0 cellpadding=0 cellspacing=0>
<TR valign="bottom">
        <TD width=60% align=center>
      <center>
        <FONT face="serif">100 Bellevue Parkway, Wilmington, DE</FONT>&nbsp;
              </center></TD>
        <TD>
          <center>
    </center></TD>
        <TD align=center>
      <center>
        <FONT face="serif">19809</FONT>&nbsp;
            </center></TD>
</TR>
<TR>
        <TD>
<HR align="center" size=1 noshade>
        </TD>
        <TD><hr align="center" size="1" noshade>
        </TD>
        <TD>
<HR align="center" size=1 noshade>
        </TD>
</TR>
<TR valign="bottom">
        <TD align=right>
      <center>
        <FONT face="serif">(Address of principal executive offices)</FONT>&nbsp;
            </center></TD>
        <TD>
          <center>
    </center></TD>
        <TD align=right>
      <center>
        <FONT face="serif">(Zip code)</FONT>&nbsp;
            </center></TD>
</TR>
</TABLE>
<center>
  <BR>
  <FONT face="serif"> Robert S. Kapito, President  </FONT><BR>
  <FONT face="serif"> </FONT><FONT face="sans-serif">BlackRock Income Trust, Inc.</FONT><B><FONT face="serif">  </FONT></B><BR>
  <FONT face="serif"> 40 East 52nd Street, New York, NY 10022  </FONT>  <FONT face="serif"> </FONT>
</center>
<hr align="center" size="1" noshade>
<center>
  <FONT face="serif">(Name and address of agent for service) </FONT>
</center>
<center>
  <p align="left">  <FONT face="serif">Registrant's telephone number, including
      area code: </FONT><U><FONT face="serif">888-825-2257</FONT></U><FONT face="serif">__________________ </FONT><BR>
      <FONT face="serif"><br>
    Date of fiscal year end:___</FONT><U><FONT face="serif">October 31, 2006</FONT></U><FONT face="serif">__________________________________ </FONT><BR>
      <FONT face="serif"><br>
    Date of reporting period:__</FONT><U><FONT face="serif"> April
      30, 2006</FONT></U><FONT face="serif">____________________________________</FONT><BR>

</p>
</center>
<HR noshade  width="100%" size=4>

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


<P>
<B><FONT face="serif">Item 1. Reports to Stockholders.</FONT></B><FONT face="serif"> <br>
</FONT><FONT face="serif">The
Registrant&#146;s semi-annual report transmitted to stockholders pursuant to
Rule 30e-1 under the Investment Company Act of 1940 is as follows: </FONT></P>

<BR>
<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="63%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="30%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP NOWRAP>
<P><FONT SIZE=1 FACE=ARIAL>FIXED

INCOME&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LIQUIDITY&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EQUITIES&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ALTERNATIVES&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BLACKROCK SOLUTIONS</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=4 FACE=ARIAL>BlackRock</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=4 FACE=ARIAL>Closed-End Funds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=4 FACE=ARIAL>Semi-Annual Report</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>APRIL 30, 2006 (Unaudited)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Broad Investment Grade
  2009 Term Trust Inc. (BCT)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Core Bond Trust (BHK)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock High Yield Trust (BHY)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Income Opportunity
  Trust (BNA)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Income Trust Inc.
  (BKT)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Limited Duration
  Income Trust (BLW)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>BlackRock Strategic Bond Trust
  (BHD)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>NOT FDIC INSURED<BR>
  MAY LOSE VALUE<BR>
  NO BANK GUARANTEE</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><IMG SRC="c42231001.jpg" ALT="(BLACKROCK LOGO)"></FONT></P>
</TD>
</TR>
</TABLE>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>

<P ALIGN=CENTER><FONT SIZE=3><B>TABLE OF CONTENTS</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="90%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A001">Letter to Shareholders</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A002">Trusts&#146; Summaries</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Financial
  Statements</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=3><A HREF="#A003">Portfolios of Investments</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=3><A HREF="#A004">Statements of Assets and Liabilities</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=3><A HREF="#A005">Statements of Operations</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>67</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=3><A HREF="#A006">Statements of Cash Flows</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>69</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=3><A HREF="#A007">Statements of Changes in Net Assets</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A008">Financial Highlights</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A009">Notes to Financial Statements</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A010">Dividend Reinvestment Plans</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A011">Additional Information</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3><A HREF="#A012">Section 19 Notices</A></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=3>94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>
<BR>
<DIV STYLE="BORDER:1PX SOLID BLACK;PADDING:2%">

<P ALIGN=CENTER><FONT SIZE=2><B>Privacy Principles of the Trusts</B></FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are committed to maintaining the privacy of shareholders and to
safeguarding their non-public personal information. The following information
is provided to help you understand what personal information the Trusts
collect, how we protect that information and why, in certain cases, we may
share information with select other parties.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Generally,
the Trusts do not receive any non-public personal information relating to their
shareholders, although certain non-public personal information of shareholders
may become available to the Trusts. The Trusts do not disclose any non-public
personal information about their shareholders or former shareholders to anyone,
except as permitted by law or as is necessary in order to service shareholder
accounts (for example, to a transfer agent or third-party administrator).</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts restrict access to non-public personal information about their
shareholders to BlackRock employees with a legitimate business need for the
information. The Trusts maintain physical, electronic and procedural safeguards
designed to protect the non-public personal information of their shareholders.</FONT></P>
</DIV>

<BR>


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

<P ALIGN=CENTER><A NAME="A001"></A><FONT SIZE=3><B>LETTER TO SHAREHOLDERS</B></FONT></P>

<DIV ALIGN=RIGHT><FONT SIZE=2>April 30, 2006 </FONT></DIV>

<DIV><FONT SIZE=2>Dear Shareholder:</FONT></DIV>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;We
are pleased to report that during the six month period, the Trusts provided the
opportunity to invest in various portfolios of fixed income securities. This
report contains the Trusts&#146; unaudited and audited financial statements and a
listing of the portfolios&#146; holdings.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
portfolio management team continuously monitors the fixed income markets and
adjusts the portfolios in order to gain exposure to various issuers and
security types. This strategy enables the Trusts to move among different
sectors, credits and coupons to capitalize on changing market conditions.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
following table shows the Trusts&#146; yields, closing market prices per share and
net asset values (&#147;NAV&#148;) per share as of April 30, 2006.</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="64%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="4" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:30%"><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Yield<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=2><B>Market Price</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>NAV</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="4" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BlackRock Broad Investment
  Grade 2009 Term Trust Inc. (BCT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BlackRock Core Bond Trust
  (BHK)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BlackRock High Yield Trust
  (BHY)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BlackRock Income
  Opportunity Trust (BNA)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BlackRock Income Trust
  Inc. (BKT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BlackRock Limited Duration
  Income Trust (BLW)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BlackRock Strategic Bond
  Trust (BHD)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.59</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="PADDING-TOP:4PX">
<P><FONT SIZE=1>Yield is based on closing market price. Past
  performance does not guarantee future results. These yields may
  increase/decrease due to an increase/decrease in the monthly distribution per
  share.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock,
Inc. (&#147;BlackRock&#148;), a world leader in asset management, has a proven commitment
to managing fixed income securities. As of March 31, 2006, BlackRock managed
$309 billion in fixed income securities, including 20 open-end and 48
closed-end bond funds. BlackRock is recognized for its emphasis on risk
management and proprietary analytics and for its reputation managing money for
the world&#146;s largest institutional investors. BlackRock Advisors, Inc., and its
affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are
wholly owned subsidiaries of BlackRock, Inc.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On
behalf of BlackRock, we thank you for your continued confidence and assure you
that we remain committed to excellence in managing your assets.</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Sincerely,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

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


<TR>
<TD VALIGN=top>
<FONT SIZE=2><IMG SRC="c42231002.jpg" ALT="(-s- Laurence D. Fink)"></FONT>
</TD>
<TD VALIGN=TOP>
<FONT SIZE=2><IMG SRC="c42231003.jpg" ALT="(-s- Ralph L. Schlosstein)"></FONT>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Laurence D. Fink<BR>
  Chief Executive Officer<BR>
  BlackRock Advisors, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Ralph L. Schlosstein<BR>
  President<BR>
  BlackRock Advisors, Inc.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>1</FONT></P>

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

<P><FONT SIZE=3><A NAME="A002"></A><B>TRUST SUMMARIES (unaudited)<BR> APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="21%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="24%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on American Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BCT</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>June
  17, 1993</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>15.20</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>14.44</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($15.20):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>5.92%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.075</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.900</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>The distribution is not
  constant and is subject to change.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$15.20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$15.86</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(4.16)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$15.86</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.85</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.44</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.63</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(1.30)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.65</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.41</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition of the Trust&#146;s long-term investments and credit
quality allocations of the Trust&#146;s corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>46</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Taxable Municipal Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:4PX"><FONT SIZE=1>Using the higher of Standard
  &amp; Poor&#146;s (&#147;S&amp;P&#148;), Moody&#146;s Investors Service (&#147;Moody&#146;s&#148;) or Fitch
  Ratings (&#147;Fitch&#148;) rating. Corporate bonds represented approximately 15.6% and
  15.5% of net assets on April 30, 2006 and October 31, 2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>2</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR>APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="24%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BHK</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>November
  27, 2001</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>12.81</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>13.41</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($12.81):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>7.22%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.0771</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.9252</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>A change in the distribution
  rate was declared on June 2, 2006. The Monthly Distribution per Share was
  decreased to $0.0670. TheYield on Closing Market Price, Current Monthly
  Distribution and Current Annualized Distribution do not reflect the new
  distribution rate. A portion of the distribution may be deemed a tax return
  of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$12.81</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.69</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(6.43)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$12.45</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.41</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(6.03)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$14.36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.36</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition of the Trust&#146;s long-term investments and credit
quality allocations of the Trust&#146;s corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Collateralized Mortgage Obligation Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Credit
  Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented
  approximately 55.8% and 53.3% of net assets on April 30, 2006 and October 31,
  2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>3</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR> APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="21%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="25%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BHY</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>December
  23, 1998</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>8.10</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>7.57</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($8.10):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>8.20%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.055333</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.663996</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>The distribution is not
  constant and is subject to change. A portion of the distribution may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$8.10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>10.05%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$8.89</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.08</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.57</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.48</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;&nbsp;1.20%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$7.38</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition and credit quality allocations of the Trust&#146;s
corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Entertainment &amp;
  Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Ecological Services &amp;
  Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Credit
  Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>C</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:4PX"><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented
  approximately 133.1% and 133.8% of net assets on April 30, 2006 and October
  31, 2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>4</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="24%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BNA</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>December
  20, 1991</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>10.34</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>10.80</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($10.34):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>7.18%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.0619</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.7428</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>A change in the distribution
  rate was declared on June 2, 2006. The Monthly Distribution per Share was
  decreased to $0.0550. The Yield on Closing Market Price, Current Monthly
  Distribution and Current Annualized Distribution do not reflect the new
  distribution rate. A portion of the distribution may be deemed a tax return
  of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$10.34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$10.90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(5.14)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$11.06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$10.07</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$10.80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$11.56</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(6.57)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$11.63</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$10.76</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition of the Trust&#146;s long-term investments and credit
quality allocations of the Trust&#146;s corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Commercial Mortgaged-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Collateralized Mortgage Obligation Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Non-Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Federal Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:4PX"><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented
  approximately 49.1% and 46.6% of net assets on April 30, 2006 and October 31,
  2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>5</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BKT</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE COLOR=GRAY ALIGN=CENTER WIDTH=100% >
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>July
  22, 1988</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>6.19</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>6.45</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($6.19):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>7.13%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.036787</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>0.441444</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 NOSHADE ALIGN=CENTER WIDTH=100% >
</TD>
</TR>

</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>The distribution is not
  constant and is subject to change. A portion of the distribution may be deemed
  a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$5.90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.92%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.52</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$5.86</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.45</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.54</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(1.22)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.57</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$6.44</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following chart shows
the portfolio composition of the Trust&#146;s long-term investments: </FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>U.S. Government and Agency
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Collateralized Mortgage
  Obligation Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Interest Only
  Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Principal Only
  Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Non Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Federal Housing Administration
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Inverse Floating Rate
  Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Interest Only Asset-Backed
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Collateralized Mortgage
  Obligation Residual Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>6</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BLW</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>July
  30, 2003</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>17.89</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>19.08</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($17.89):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>8.17%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.1218</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>1.4616</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>A change in the distribution
  rate was declared on June 2, 2006. The Monthly Distribution per Share was
  increased to $0.1250. The Yield on Closing Market Price, Current Monthly
  Distribution and Current Annualized Distribution do not reflect the new
  distribution rate.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$17.89</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$17.48</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>2.35%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$18.68</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$16.54</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$19.08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$19.17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(0.47)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$19.22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$18.97</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition of the Trust&#146;s long-term investments and credit
quality allocations of the Trust&#146;s corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Bank Loans</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>U.S. Government and Agency
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Collateralized Mortgage
  Obligations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Interest Only Asset-Backed
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Credit
  Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:4PX"><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented
  approximately 61.0% and 59.8% of net assets on April 30, 2006 and October 31,
  2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>7</FONT></P>

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

<P><FONT SIZE=3><B>TRUST SUMMARIES (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD)</B></FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Trust Information</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Symbol on New York Stock
  Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>BHD</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100% ALIGN=CENTER SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>February
  26, 2002</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Closing Market Price as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>12.30</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Net Asset Value as of
  4/30/06:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>13.58</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Yield on Closing Market
  Price as of 4/30/06 ($12.30):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>8.59%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Current Monthly
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>0.088</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Current Annualized
  Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:.05IN; '><FONT   SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>1.056</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=100%  ALIGN=CENTER SIZE=1>
</TD>
</TR>

</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yield on closing market
  price is calculated by dividing the current annualized distribution per share
  by the closing market price. Past performance does not guarantee future
  results.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>The distribution is not
  constant and is subject to change. A portion of the distribution may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The table below summarizes
the changes in the Trust&#146;s market price and NAV:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>4/30/06</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>10/31/05</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Change</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>High</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Low</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>Market Price</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$12.30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$12.45</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(1.20)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$11.56</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2>NAV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.58</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.68</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>(0.73)%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>$13.52</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The following charts show
the portfolio composition and credit quality allocations of the Trust&#146;s
corporate bond investments:</FONT></P>

<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Portfolio Composition</B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Entertainment &amp;
  Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Ecological Services &amp;
  Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Conglomerates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>
<BR>
<DIV ALIGN=CENTER><FONT SIZE=2><B>Corporate Credit Breakdown<SUP>3</SUP></B></FONT></DIV>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Credit
  Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE  ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0  CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating. Corporate bonds represented
  approximately 114.7% and 122.7% of net assets on April 30, 2006 and October
  31, 2005, respectively.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>8</FONT></P>

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


<P><FONT SIZE=3><B>CONSOLIDATED
PORTFOLIO OF INVESTMENTS (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM
  INVESTMENTS&#151;80.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Mortgage
  Pass-Through Securities&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>411</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  1/01/17-2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>408,649</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 7/01/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,776</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>424,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Agency Multiple
  Class Mortgage Pass-Through Securities&#151;13.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,168</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1510, Class
  G, 7.05%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,193,772</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1598, Class
  J, 6.50%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,017,719</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>39</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  SJ, 8.75%, 2/25/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>38,906</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 49, Class H,
  7.00%, 4/25/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,020,140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 214, Class
  SK, 10.00%, 12/25/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>170,458</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Government National Mortgage Assoc., REMIC Trust
  2000, 5.731%, 12/16/27</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>99,953</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Agency Multiple Class Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,540,948</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Inverse
  Floating Rate Mortgage Securities&#151;2.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Citicorp Mortgage Securities, Inc., 5.932%, 11/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>184,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>162</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1425, Class
  SB, 9.258%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>163,227</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1506, Class
  S, 11.833%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,595</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>106</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1515, Class
  S, 11.291%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>107,365</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>68</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1618, Class
  SA, 8.25%, 11/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1661, Class
  SB, 11.297%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>32,833</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>121</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1688, Class
  S, 8.794%, 12/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120,771</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 187, Class
  SB, 14.266%, 10/25/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>97,319</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 191, Class
  SD, 8.807%, 10/25/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>84,152</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>118</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 214, Class
  SH, 5.345%, 12/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>114,495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,003,192</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Interest
  Only Mortgage-Backed Securities&#151;4.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 65, Class I,
  918.03%, 8/15/20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,394</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 141, Class
  H, 1,060.00%, 5/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1114, Class
  J, 1,008.00%, 7/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>119</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>234</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1645, Class
  IB, 5.50%, 9/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>6,457</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,970</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2523, Class
  EH, 5.50%, 4/15/20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>158,909</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>281</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2543, Class
  IM, 5.00%, 9/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,869</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,399</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2633, Class
  PI, 4.50%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39,335</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>841</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2672, Class
  TP, 5.00%, 9/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>6,417</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,605</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2739, Class
  PI, 5.00%, 3/15/22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>434,652</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,920</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2775, Class
  UB, 5.00%, 12/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>65,532</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,568</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2976, Class
  KI, 5.50%, 11/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>275,917</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 8, Class HA,
  1,199.999%, 1/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,416</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  IG, 5.00%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>120,404</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>149</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20, Class
  SL, 12.666%, 9/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,044</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 49, Class L,
  444.917%, 4/25/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>38,508</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 51, Class K,
  1,006.50%, 4/25/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,063</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>12,992</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 70, Class
  ID, 5.00%, 4/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>654,938</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 72, Class H,
  1,183.25%, 7/25/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 82, Class
  IR, 5.00%, 9/25/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,737</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 174, Class
  S, 111.644%, 9/25/22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,982</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 208, Class
  S, 2.531%, 2/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>158</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. G-21, Class
  L, 949.50%, 7/25/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,597</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>15,981</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Vendee Mortgage Trust, 0.04%, 10/15/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30,828</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,891,709</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>9</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)
(continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount<BR> (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>


<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Principal
  Only Mortgage-Backed Security&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Aaa</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Salomon Brothers Mortgage Securities, Inc. VI,
  12.50%, 10/23/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>21,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Asset-Backed
  Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>235</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Global Rated Eligible Asset Trust, 7.33%, 9/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Mortgage Asset Residential Trust,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>568</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, 8.24%,
  12/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>57</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>629</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 3, 8.724%,
  4/15/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>63</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>143</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Corporate
  Bonds&#151;15.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Energy&#151;2.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Conoco Funding Co., 5.45%, 10/15/06 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,382</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Israel Electric Corp. Ltd., 7.25%, 12/15/06 (Israel)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>504,109</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,004,491</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Financial
  Institutions&#151;13.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bank of America Corp., 4.75%, 10/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>499,221</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>General Electric Capital Corp., 2.75%, 9/25/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>495,367</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Acceptance Corp., 6.125%, 9/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>497,595</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Goldman Sachs Group, Inc., 2.85%, 10/27/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>494,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lehman Brothers Holdings, Inc., 7.50%, 9/01/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>503,338</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Morgan Stanley Group, Inc., 10.00%, 6/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,092,327</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SLM Corp., 3.50%, 9/30/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>496,987</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>SunTrust Bank, 7.25%, 9/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>503,320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Bank NA, 2.85%, 11/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>493,117</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Wachovia Corp., 4.95%, 11/01/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>499,110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,574,407</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Transportation&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Airlines, Inc., 10.44%, 3/04/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>102,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>6,680,898</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;36.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.50%, 11/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,175,001</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%, 8/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,066,718</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>385</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.625%, 5/15/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>391,527</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>10,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>U.S. Treasury Strip, Zero Coupon, 8/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>9,871,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,505,121</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Taxable
  Municipal Bonds&#151;7.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fresno California Pension Oblig., 7.80%, 6/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>552,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Kern County California Pension Oblig., 6.98%, 8/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>524,340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Los Angeles County California Pension Oblig.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 8.62%,
  6/30/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,005,110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. D, 6.97%,
  6/30/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>516,360</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Orleans Parish Louisiana School Board, 6.60%, 2/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>509,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Taxable Municipal Bonds</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,107,635</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Total
  Long-Term Investments</B> (cost $34,801,147)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>34,175,879</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>SHORT-TERM
  INVESTMENT&#151;19.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Zero Coupon Bond&#151;19.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Bank Discount Notes, 4.71%, 5/01/06
  (cost $8,300,000)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,300,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Total
  Investments&#151;99.4%</b> (cost $43,101,147<SUP>8</SUP>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>42,475,879</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Other assets in excess of liabilities&#151;0.6%</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>239,030</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Net
  Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>42,714,909</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>


<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP COLSPAN=2>
<HR SIZE=1 NOSHADE WIDTH=120 ALIGN=LEFT>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Variable rate security. Rate
  shown is interest rate as of April 30, 2006.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rate shown is interest rate
  or effective yield as of April 30, 2006 of the underlying collateral.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Security is not registered
  under the Securities Act of 1933. These securities may be resold in
  transactions in accordance with Rule 144A under that Act, to qualified
  institutional buyers. As of April 30, 2006, the Trust held 1.2% of its net
  assets, with a current market value of $504,132, in securities restricted as
  to resale.</FONT></P>
</TD>
</TR>

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

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=middle>
<P><FONT SIZE=1>Illiquid security. As of
  April 30, 2006, the Trust held less than 0.1% of its net assets, with a
  current market value of $143 in these securities.</FONT></P></TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=middle>
<P><FONT SIZE=1>Rate shown is the yield to
  maturity as of April 30, 2006.</FONT></P></TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=middle>
<P><FONT SIZE=1>Cost for Federal income tax
  purposes is $43,101,147. The net unrealized depreciation on a tax basis is
  $625,268, consisting of $365,558 gross unrealized appreciation and $990,826
  gross unrealized depreciation.</FONT></P></TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="40%">
<TR style="font-size:1px">
<TD WIDTH="40%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-TOP:SOLID BLACK 1PX; BORDER-LEFT:SOLID BLACK 1PX; BORDER-RIGHT:SOLID BLACK 1PX; PADDING-TOP:2PX; PADDING-RIGHT:2PX; PADDING-LEFT:2PX">
<P ALIGN=CENTER><FONT SIZE=1><BR><B>KEY TO ABBREVIATIONS<BR><BR></B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP NOWRAP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX; BORDER-LEFT:SOLID BLACK 1PX; BORDER-RIGHT:SOLID BLACK 1PX; PADDING-BOTTOM:2PX; PADDING-RIGHT:2PX; PADDING-LEFT:2PX">
<P ALIGN=CENTER><FONT SIZE=1>REMIC
  &#150; Real Estate Mortgage Investment Conduit<BR><BR></FONT></P>
</TD>
</TR>
</TABLE>


<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>See Notes to Financial
Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>10</FONT></P>

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

<P><A NAME="A003"></A><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited) <BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM
  INVESTMENTS&#151;98.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Mortgage
  Pass-Through Securities&#151;11.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.01%, 4/19/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,836,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>88</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%, 8/01/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>83,307</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>8,052</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  11/01/18-2/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>7,871,483</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,294</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%,
  2/01/13-12/01/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,331,696</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>194</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.013%, 5/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>196,296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 9/01/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>870</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>1.75%, 6/16/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>866,246</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>2.35%, 4/05/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,582,072</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.50%, 2/01/20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49,949</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>12,165</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%,
  11/01/17-7/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>11,829,691</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,262</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  1/01/18-1/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,156,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%,
  8/01/29-3/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,019,787</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>382</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%,
  1/01/31-7/01/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>392,674</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA, 5.00%,
  5/16/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,362,813</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>314</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Government National Mortgage Assoc., 5.50%, 8/15/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>308,634</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Small Business Administration,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>908</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. P10B, Class
  1, 4.754%, 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>856,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,029</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. P10B, Class
  1, 5.136%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,974,778</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39,751,459</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Federal
  Housing Administration Security&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,062</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>FHA Hebre Home Hospital, 6.25%, 9/01/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,088,338</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Agency
  Multiple Class Mortgage Pass-Through Securities&#151;7.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,553</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 82, Class
  HJ, 5.50%, 9/25/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,518,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,504</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2825, Class
  VP, 5.50%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,491,332</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2883, Class
  DR, 5.00%, 11/15/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,200,368</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,557</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2922, Class
  GA, 5.50%, 5/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,502,995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,910</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2927, Class
  BA, 5.50%, 10/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,885,104</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,847</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2933 Class
  HD, 5.50%, 2/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,828,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2968, Class
  EG, 6.00%, 10/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,578,522</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 3 Class AP,
  5.50%, 2/25/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,625,448</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,472</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class PK,
  5.00%, 12/25/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,387,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,136</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 27, Class
  PC, 5.50%, 5/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,101,560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,129</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 70, Class
  NA, 5.50%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,084,354</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,974</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 118, Class
  FD, 5.359%, 12/25/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,985,652</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Agency Multiple Class Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,190,268</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Asset-Backed
  Securities&#151;8.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Citibank Credit Card Issuance Trust, 4.85%, 2/10/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,797,112</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Countrywide Asset-Backed Certificates,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,572</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 15, Class
  2AV1, 5.059%, 4/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,572,692</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,702</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 16, Class
  4AV1, 5.059%, 1/25/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,702,945</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DaimlerChrysler Auto Trust, 5.00%, 5/08/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,813,432</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Ford Credit Auto Owner Trust, 5.07%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,835,422</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MBNA Credit Card Master Note Trust, 4.90%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,802,534</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,207</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Merrill Lynch Mortgage Investors, Inc., 5.069%,
  9/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,207,649</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,630</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>New Century Home Equity Loan Trust, 5.039%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,630,585</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>SLM Student Loan Trust,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,179</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class A1,
  5.10%, 1/25/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,179,334</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>812</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 9, Class A2,
  5.12%, 10/25/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>812,235</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,293</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class
  A1, 5.07%, 4/25/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,291,548</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,648</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Structured Asset Investment Loan Trust, 5.039%,
  1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,649,966</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>USAA Auto Owner Trust, 5.04%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,705,887</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>32,001,341</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See
Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>11</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Interest
  Only Asset-Backed Securities&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,253</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1, 2.362%,
  4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,977,731</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, 1.00%,
  3/30/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,124,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,102,231</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Interest
  Only Mortgage-Backed Securities&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,923</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2579, Class
  HI, 5.00%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>406,453</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,231</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2611, Class
  QI, 5.50%, 9/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,331,487</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>32,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc., 1.741%, 11/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,410,164</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,148,104</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Commercial
  Mortgage-Backed Securities&#151;6.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Banc of America Commerical Mortgage, Inc., 4.894%,
  11/10/42</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,123,455</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Commercial Mortgage Acceptance Corp., 6.03%, 9/15/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,813,353</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,720</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Credit Suisse First Boston Mortgage Securities Corp.,
  4.94%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,620,591</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,648</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>General Motors Acceptance Corp. Commercial Mortgage
  Securities, Inc., 7.179%, 8/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,711,936</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,683</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goldman Sachs Mortgage Securities Corp. II, 6.135%,
  10/18/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,700,471</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,677</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Heller Financial Commercial Mortgage Asset Co.,
  6.847%, 5/15/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,714,263</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>JP Morgan Chase Commercial Mortgage Securities Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C1, Class
  A3, 5.857%, 10/12/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,163,647</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. CBX, Class
  A4, 4.529%, 1/12/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,071,680</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,770</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>JP Morgan Commercial Mortgage Finance Corp., 7.371%,
  8/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,861,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,622</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Morgan Stanley Capital Trust I, 6.48%, 11/15/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,670,614</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Salomon Brothers Mortgage Securities VII, 7.52%,
  12/18/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,717,713</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,169,660</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Collateralized
  Mortgage Obligation Securities&#151;4.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2562, Class
  PG, 5.00%, 1/15/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,148,654</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>372</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2582, Class
  TB, 3.50%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>370,317</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,197</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2806, Class
  VC, 6.00%, 12/15/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,184,040</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>First Union National Bank Commercial Mortgage,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C3, Class A3,
  6.423%, 8/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,237,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,265</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C4, Class
  A2, 6.223%, 12/12/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,327,197</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>General Motors Acceptance Corp. Commercial Mortgage
  Securities, Inc., 4.93%, 7/10/39</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,261,508</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,741</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Asset Securities Corp., 3.45%, 2/25/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,459,530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Collateralized Mortgage Obligation Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>14,988,721</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Corporate
  Bonds&#151;55.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Aerospace
  &amp; Defense&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>384</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Aero Invest, 10.634%, 3/22/15 (Norway) (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>501,517</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Armor Holdings, Inc., 8.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>32,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BE Aerospace, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,310</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,396,787</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>495,781</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,430</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>DI Finance/DynCorp. Intl., 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,494,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DRS Technologies, Inc., 7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Northrop Grumman Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>615</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.079%, 11/16/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>611,058</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>960</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 3/01/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,128,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Raytheon Co., 7.00%, 5/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,204,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Sequa Corp., 8.875%, 4/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>94,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Technologies Corp., 4.875%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,059,080</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>8,100,048</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>ArvinMeritor, Inc., 8.75%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>25,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Autonation, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>150,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.045%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>152,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Avis Budget Car Rental LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.576%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,862</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>66,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>12</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>660</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>DaimlerChrysler NA Holding Corp., 7.45%, 3/01/27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>681,184</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dura Operating Corp., 8.625%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>76,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>General Motors Corp., 8.25%, 7/15/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>507,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodyear Tire &amp; Rubber Co., 7.857%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>24,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Lear Corp., 8.11%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>294,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>434,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Tenneco, Inc., 8.625%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>101,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>517</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>TRW Automotive, Inc., 9.375%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>555,775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,101,934</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic
  Materials&#151;3.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Abitibi-Consolidated Co., 8.375%, 4/01/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>40,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>860,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BCI US Finance Corp./Borden 2 Nova Scotia Finance
  ULC, 10.577%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>81,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bowater, Inc., 7.91%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,330</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,557,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Domtar, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 8/15/15
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>54,450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 10/15/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>174,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Donohue Forest Products, 7.625%, 5/15/07 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>151,313</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75,570</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.318%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>235,688</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>IMC Global, Inc., 10.875%, 6/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Ineos Group Holdings PLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 2/07/16
  (United Kingdom) (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>346,522</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>730</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 2/15/16
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>690,762</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,045</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,076,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Ispat Inland ULC, 9.75%, 4/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>145,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lyondell Chemical Co., 9.50%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,204,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>273,487</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nova Chemicals Corp., 8.405%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>483,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rhodia SA,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>204</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>8.875%, 6/01/11 (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>211,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>10.25%, 6/01/10 (France)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>17,880</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>351,559</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>12,219,856</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Building
  &amp; Development&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Ahern Rentals, Inc., 9.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>78,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compression Polymers Corp., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>205,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>ERICO Intl. Corp., 8.875%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>654,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>640</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodman Global Holding Co., Inc., 7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>641,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Hovnanian Enterprises, Inc., 10.50%, 10/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,176,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>North American Energy Partners, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 12/01/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>53,763</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 6/01/10
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,994,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Consumer
  Products&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>ALH Finance LLC, 8.50%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>88,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cenveo Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>243,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>535,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>530</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federated Department Stores, Inc., 6.79%, 7/15/27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>526,934</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Finlay Fine Jewelry Corp., 8.375%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>245,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Gold Kist, Inc., 10.25%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>84,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Knowledge Learning Corp., Inc., 7.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>766,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>330</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Lazydays RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>330,413</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>385</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Levi Strauss &amp; Co., 9.74%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>401,362</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>13</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Consumer
  Products&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>May Department Stores Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.65%, 7/15/24</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,837</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 3/01/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>254,255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Movie Gallery, Inc., 11.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>89,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nutro Products, Inc., 9.23%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>51,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Pantry, Inc., 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,015,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>193,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rite Aid Corp., 6.125%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>908,812</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Sonic Automotive, Inc., 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,163,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,925,913</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Containers
  &amp; Packaging&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>240</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Covalence Specialty Materials Corp., 10.25%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>248,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Crown Americas LLC and Crown Americas Capital Corp.,
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>255,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>76,687</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Owens Brockway, 8.25%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,537,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Packaging Dynamics Finance Corp., 10.00%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>76,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>466,694</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Smurfit-Stone Container Enterprises, Inc., 9.75%,
  2/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>256,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,918,281</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Ecological
  Services &amp; Equipment&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Allied Waste NA, Inc., 5.75%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>219,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>590</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>612,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>831,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;6.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>ANR Pipeline Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>267,150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>810</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 11/01/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>970,987</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Aquila Finance Corp., 7.75%, 6/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>279,450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>175,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chesapeake Energy Corp., 6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Clayton Williams Energy, Inc., 7.75%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>235,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CMS Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>101,888</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>31,763</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compagnie Generale de Geophysique SA, 7.50%, 5/15/15
  (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>99,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>252,769</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>414,531</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,980</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Devon Financing Corp. LLC, 7.875%, 9/30/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,329,839</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>690</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dresser, Inc., 9.375%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>723,638</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Dynegy Danskammer LLC, 7.27%, 11/08/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>183,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>El Paso Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.80%, 8/01/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>99,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.75%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>167,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>El Paso Natural Gas Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>877,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>249,188</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.625%, 1/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>296,469</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>184,385</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>EnCana Corp., 6.50%, 8/15/34 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,018,028</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>59,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Florida Power &amp; Light Co., 4.95%, 6/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>792,993</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Grant Prideco, Inc., 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>76,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Halliburton Co., 7.60%, 8/15/96</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>188,309</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hilcorp Energy I LP/Hilcorp Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>246,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 9/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>53,410</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>14</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<br> Amount<br> (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>171,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Kinder Morgan Fin. Corp., 6.40%, 1/05/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>981,506</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>94</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Midwest Generation LLC, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>100,718</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mirant Americas Generation LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>41,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 5/01/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>231,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>590</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mission Energy Holdings Co., 13.50%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>671,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>287,138</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Occidental Petroleum Corp., 7.20%, 4/01/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>399,563</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>147,713</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>790</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Peco Energy Capital Trust IV, 5.75%, 6/15/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>682,197</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Pemex Project Funding Master Trust, 9.375%, 12/02/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,786,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Petro Canada, 5.95%, 5/15/35 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>366,258</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Baa2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Progress Energy, Inc., 7.75%, 3/01/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>967,209</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Reliant Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>191,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Scottish Power PLC, 5.375%, 3/15/15 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>669,862</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>290</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SP PowerAssets Ltd., 5.00%, 10/22/13 (Singapore)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>276,982</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Suncor Energy, Inc., 5.95%, 12/01/34 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>284,211</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Talisman Energy, Inc., 5.85%, 2/01/37 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>282,884</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>324,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Texaco Capital, Inc., 8.875%, 9/01/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,368,792</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Transcanada Pipelines Ltd., 5.85%, 3/15/36 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>519,594</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Whiting Petroleum Corp., 7.00%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>44,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>515</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Williams Cos., Inc., 8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>592,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>XTO Energy, Inc., 6.10%, 4/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>896,422</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,119,421</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Entertainment
  &amp; Leisure&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>197,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Circus &amp; Eldorado Joint Venture, 10.125%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,070,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Gaylord Entertainment Co., 6.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Greektown Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>377,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Poster Financial Group, Inc., 8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>116,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Resorts Intl. Hotel &amp; Casino, Inc., 11.50%,
  3/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,095,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>San Pasqual Casino, 8.00%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>101,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Seneca Gaming Corp., 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>260,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
  6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>38,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,399,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions&#151;20.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4,5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Allstate Financial Global Funding II, 2.625%,
  10/22/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>542,507</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>320</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Real Estate Partners LP/American Real Estate
  Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>318,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,645</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Bank of America Corp., 4.50%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,592,244</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bank One Corp., 3.70%, 1/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>317,023</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BankBoston NA, 6.375%, 3/25/08-4/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,427,886</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,970</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Barclays Bank PLC NY, 4.90%, 3/13/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,970,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>BCP Crystal US Holdings Corp., 9.625%, 6/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>44,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Belvoir Land LLC, 5.27%, 12/15/47</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>305,812</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Berkshire Hathaway Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.40%, 7/02/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,172,628</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,027,534</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CitiFinancial, 6.25%, 1/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>609,240</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>15</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Citigroup, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,010</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.625%, 2/09/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,883,980</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.125%, 2/22/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,232,262</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,960</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.25%, 7/29/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,897,721</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 2/15/98</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>546,676</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,080</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,123,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Depfa ACS Bank, 4.25%, 8/16/10 (Ireland)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,053,869</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Deutsche Bank AG, 3.843%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>885,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>E*Trade Financial Corp., 7.375%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>101,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fairfax Financial Holdings Ltd., 7.75%, 4/26/12
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>171,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Aaa</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Fort Irwin Land LLC, 5.03%, 12/15/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>469,639</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Electric Capital Corp., 3.45%, 1/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,611,770</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>General Motors Acceptance Corp., 6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>425,393</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goldman Sachs Group, Inc., 5.35%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,358,285</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>HBOS Treasury Services PLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>855</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.60%, 8/15/07
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>838,088</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.75%, 9/30/08
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>794,992</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>HSBC Bank USA, Inc., 5.875%, 11/01/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>734,495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>HSBC Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,820</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.75%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,787,331</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.375%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>653,183</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Irwin Land LLC, 5.40%, 12/15/47</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,315,388</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>JP Morgan Chase &amp; Co., 5.35%, 3/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>598,903</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>K&amp;F Acquisition, Inc., 7.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>260,738</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Metropolitan Global Funding I, 4.25%, 7/30/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,110,778</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,405</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Morgan Stanley Group, Inc., 4.91%, 3/07/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,403,681</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nationwide Building Society, 3.50%, 7/31/07 (United
  Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>2,080,216</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>645</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>638,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>New York Life Global Funding, 3.875%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>819,045</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ohana Military Communities LLC, 6.193%, 4/01/49</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>353,027</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Prudential Financial, Inc., 5.90%, 3/17/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>468,690</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Prudential Funding LLC, 6.60%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,023,099</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rabobank Nederland Global, 5.01%, 4/06/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,548,638</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>213,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,455</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.375%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,633,237</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>685</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Standard Aero Holdings, Inc., 8.25%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>606,225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,255</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Asset Receivable Trust, 1.649%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,254,801</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>SunTrust Bank, 4.415%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,227,683</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SunTrust Banks, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.625%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,598,465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.00%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>965,869</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>235</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>TIAA Global Markets, Inc., 3.875%, 1/22/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>229,686</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Bancorp, 3.95%, 8/23/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>368,977</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Universal City Florida Holding Co. I/II, 9.899%,
  5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>51,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>US Bank NA,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>2.87%, 2/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,354,117</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,790</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 2/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,846,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>USAA Capital Corp., 4.00%, 12/10/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>485,215</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,985</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wachovia Capital Trust III, 5.80%, 3/15/42</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,948,402</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Wells Fargo &amp; Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,031</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.12%, 8/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>983,444</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>355</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.20%, 1/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>341,219</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,665</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.625%, 8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,615,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.875%, 1/12/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>425,037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Western Financial Bank, 9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>75,722,947</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>16</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health
  Care&#151;1.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14
  (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>442,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Curative Health Services, Inc., 10.75%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>MedQuest, Inc., 11.875%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>208,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Select Medical Corp., 7.625%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>155,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Tenet Healthcare Corp., 6.875%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>366,012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Surgical Partners Intl., Inc., 10.00%,
  12/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,130,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>UnitedHealth Group, Inc., 5.80%, 3/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>297,088</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>410</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal Hospital Services, Inc., 10.125%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>426,912</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>WellPoint, Inc., 5.95%, 12/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>79,361</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wyeth, 6.00%, 2/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>641,699</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,759,647</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Industrials&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NationsRent Cos., Inc., 9.50%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>422,175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>420</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>396,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>480</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>508,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Terex Corp., 9.25%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,130,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Trimas Corp., 9.875%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>198,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>655</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Rentals NA, Inc., 7.00%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>630,438</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,286,763</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;4.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>365</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>10.125%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>377,499</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>11.50%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>205,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>430</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Allbritton Communications Co., 7.75%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>432,150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>American Media Operations, Inc., 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>278,406</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AOL Time Warner, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.625%, 5/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>87,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,040</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.57%, 2/01/24</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,216,946</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 4/15/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>221,256</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.70%, 5/01/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>92,718</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BSKYB Finance UK PLC, 6.50%, 10/15/35 (United
  Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>51,323</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cablevision Systems Corp., 9.62%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Charter Communications Holdings II, LLC/Charter
  Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130,488</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>710</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>718,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Comcast Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,840</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.45%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,756,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 11/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>601,166</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>CSC Holdings, Inc., 7.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>275,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Echostar DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.75%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>172,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.24%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>127,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Cable Corp., 9.50%, 11/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>269,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Medianews Group, Inc., 6.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>163,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Network Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>174,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>News America Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>985</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 11/30/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,043,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.70%, 10/30/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>877,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.45%, 8/01/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>716,088</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>244,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Paxson Communications Corp., 8.318%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>615,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Primedia, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.545%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>451,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quebecor World, Inc., 8.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>242,470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>RH Donnelley Corp., 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>823,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sirius Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>17</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="99%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>TCI Communications, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/15/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200,943</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>610</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 2/15/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>654,259</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,893</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Time Warner Cos., Inc., 6.95%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>69,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Unity Media GmbH, 10.375%, 2/15/15 (Germany)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>99,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Vertis, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>645</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>657,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>216,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>905</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>830,337</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>17,628,666</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Real
  Estate&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,165</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>American Real Estate Partners, 8.125%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>3,267,863</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AvalonBay Communities, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.625%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>365,205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>817,531</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rouse Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>895</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.625%, 3/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>832,630</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.375%, 11/26/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,526,692</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,809,921</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Technology&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>410</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Amkor Technology, Inc., 9.25%, 2/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>432,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>250,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MagnaChip Semiconductor SA/MagnaChip Semiconductor
  Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>18,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 12/15/11
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Oracle Corp. and Ozark Holding, Inc., 5.25%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,163,018</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sensata Technologies BV, 8.00%, 5/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>191,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>SS&amp;C Technologies, Inc., 11.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>298,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>STATS ChipPAC Ltd., 7.50%, 7/19/10 (Singapore)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>40,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Sungard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>128,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.431%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>362,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>560</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>599,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>895</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Superior Essex Communications LLC/Essex Group, Inc.,
  9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>901,712</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>UGS Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>361,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Technology</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>4,919,080</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;5.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>1,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Bellsouth Telecommunications, 6.65%, 12/15/95</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>775,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>214,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Deutsche Telekom Intl. Finance BV,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.75%, 3/23/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,897,368</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 6/15/30
  (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>29,904</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hawaiian Telcom Communications, Inc., 10.789%,
  5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Intelsat Ltd.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 1/15/13
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.625%, 1/15/15
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>307,169</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.614%, 1/15/12
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330,688</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Lucent Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>155</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.45%, 3/15/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>137,175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>805</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>706,387</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>770</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>800,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Nortel Networks Corp., 6.875%, 9/01/23 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>65,363</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>155</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PanAmSat Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>163,138</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>209,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>512,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>155</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160,038</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>780</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>SBC Communications, Inc., 6.45%, 6/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>759,147</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>18</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sprint Capital Corp., 6.875%, 11/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,763,566</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Telecom Italia Capital SA, 6.00%, 9/30/34
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,384,016</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>778,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Verizon Global Funding Corp., 7.75%, 12/01/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>77,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Verizon Maryland, Inc., 5.125%, 6/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,940</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Verizon New Jersey, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.85%, 11/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>239,324</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>335</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 5.875%,
  1/17/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330,314</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Verizon Virginia, Inc., 4.625%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,832,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vodafone Group PLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.05%, 12/28/07
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,465,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 2/15/10
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,678,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Wind Acquisition Finance SA, 10.75%, 12/01/15
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>384,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,359,769</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Transportation&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Airlines, Inc., 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>111,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Canadian National Railway Co., 6.25%, 8/01/34
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>356,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>405</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>412,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hertz Corp., 8.875%, 1/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>63,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>47</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Horizon Lines LLC, 9.00%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>48,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>OMI Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,044,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>202,142,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;2.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Aid to Israel, 5.50%, 4/26/24-9/18/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,606,483</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Resolution Funding Corp., Zero Coupon,
  7/15/18-10/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>543,346</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Tennessee Valley Authority,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C, 5.88%,
  4/01/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,710,257</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. D, 4.875%,
  12/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,614,809</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Strip Principal, Zero Coupon, 11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>755,765</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,230,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Foreign
  Government Bonds&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>United Mexican States,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 9/27/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>403,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Baa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 9/24/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,587,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.125%, 12/30/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>576,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,566,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Long-Term Investments (cost $368,360,495)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>358,379,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>SHORT-TERM
  INVESTMENTS&#151;1.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Foreign
  Government Bond&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>France Treasury Bill,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>2.565%, 7/13/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>684,038</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,632</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>2.52%, 7/13/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,303,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Foreign Government Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,987,444</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Zero Coupon Bonds&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc. Disc. Notes, 4.71%,
  5/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>299,648</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>5,8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Bills, 4.494%, 5/04/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>699,738</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>5,8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Bills, 4.542%, 5/18/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>199,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total U.S. Government and Agency Zero Coupon Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,198,959</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Short-Term Investments (cost $5,186,403)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,186,403</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>19</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional <BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>OUTSTANDING
  OPTIONS PURCHASED&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.26%, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>147,680</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.26%,
  Trust receives 3-month LIBOR, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>305,760</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.50%, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>235,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>5,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.50%,
  Trust receives 3-month LIBOR, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>380,010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Outstanding Options Purchased (cost $1,172,060)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,069,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1><B>Total
  Investments before borrowed bond and outstanding options written&#151;100.7% </B>(cost $374,718,958<SUP>9</SUP>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>364,635,493</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>BORROWED
  BOND&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Bonds, 5.375%, 5/04/06 (cost
  $3,781,731)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,781,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Contracts/<BR>
  Notional <BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>OUTSTANDING
  OPTIONS WRITTEN&#151;(0.7)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.135%, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(297,595</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  5.135%, Trust receives 3-month LIBOR, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(92,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(13,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 4.725%, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(934,857</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(13,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  4.725%, Trust receives 3-month LIBOR, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(60,648</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(11,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.67%, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(419,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(11,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.67%,
  Trust receives 3-month LIBOR, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(518,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(74</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Notes Future, expiring 5/26/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(56,078</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Notes Future, expiring 8/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(43,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Outstanding Options Written (premium received
  $2,748,069)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,423,139</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Total
  Investments net of borrowed bond and outstanding options written&#151;101.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>365,994,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Liabilities in excess of other assets&#151;(1.0)%</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,712,678</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Net
  Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>362,281,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<HR SIZE=1 NOSHADE WIDTH="120" ALIGN=LEFT>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=top>
<P>&nbsp;</P></TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P><P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>1</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>2</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Variable rate security.
  Rate shown is interest rate as of April 30, 2006.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P><P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>3</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Entire or partial principal
  amount pledged as collateral for reverse repurchase agreements. See Note 4 in
  the Notes to Financial Statements for details of open reverse repurchase
  agreements.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>4</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P> <FONT SIZE=1>Security is not registered
  under the Securities Act of 1933. These securities may be resold in
  transactions in accordance with Rule 144A under that Act, to qualified
  institutional buyers. As of April 30, 2006, the Trust held 9.2% of its net
  assets, with a current market value of $33,449,198, in securities restricted
  as to resale.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>5</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P> <FONT SIZE=1>Security, or a portion
  thereof, pledged as collateral with a value of $1,764,818 on 1,711 long U.S.
  Treasury Bond futures contracts expiring June 2006 to September 2006, 70
  short Eurodollar futures contracts expiring June 2006 to September 2006 and
  898 short U.S. Treasury Note futures contracts expiring September 2006. The
  notional value of such contracts on April 30, 2006 was $72,193,350, with an
  unrealized gain of $697,757.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>6</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P> <FONT SIZE=1>Issuer is in default and/or
  bankruptcy.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>7</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Illiquid security. As of
  April 30, 2006, the Trust held 0.9% of its net assets, with a current market
  value of $3,254,801 in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>8</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rate shown is the yield to
  maturity as of April 30, 2006.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>9</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Cost for Federal income tax
  purposes is $376,278,421. The net unrealized depreciation on a tax basis is
  $11,642,928, consisting of $1,835,307 gross unrealized appreciation and
  $13,478,235 gross unrealized depreciation.</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>10</SUP></FONT></P></TD>
<TD VALIGN=TOP>
<P> <FONT SIZE=1>The interest rate and
  maturity date shown represent the terms of the bond borrowed transaction, not
  the security borrowed (see Note 1).<BR><BR>A category in the Corporate Bonds section
  may contain multiple industries as defined by the SEC&#146;s Standard Industry
  Codes.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="40%">
<TR style="font-size:1px">
<TD WIDTH="40%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-TOP:SOLID BLACK 1PX; BORDER-LEFT:SOLID BLACK 1PX; BORDER-RIGHT:SOLID BLACK 1PX; PADDING-TOP:10PX">
<P ALIGN=CENTER><FONT SIZE=1><B>KEY TO ABBREVIATIONS<BR><BR></B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-BOTTOM:SOLID BLACK 1PX; BORDER-LEFT:SOLID BLACK 1PX; BORDER-RIGHT:SOLID BLACK 1PX; PADDING-BOTTOM:10PX">
<P ALIGN=CENTER><FONT SIZE=1>EUR
  &#150; European Monetary Unit <BR>
  TBA &#150; To Be Announced&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>20</FONT></P>

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


<P><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited)</B></FONT><BR><FONT SIZE=3>
<B>APRIL 30, 2006 </B></FONT></P>

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM
  INVESTMENTS&#151;137.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Corporate
  Bonds&#151;133.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Aerospace
  &amp; Defense&#151;6.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AAR Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>435</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>436,631</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A2, 8.39%,
  5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>353,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Argo-Tech Corp., 9.25%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Armor Holdings, Inc., 8.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>133,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BE Aerospace, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>735</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>783,694</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Condor Systems, Inc., 11.875%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>745</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DI Finance/DynCorp. Intl., 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>778,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DRS Technologies, Inc., 7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sequa Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. B, 8.875%,
  4/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,855</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,114,111</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;3.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ArvinMeritor, Inc., 8.75%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>66,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Autonation, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.045%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Avis Budget Car Rental LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.576%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Delco Remy Intl., Inc., 9.068%, 4/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dura Operating Corp., 8.625%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Acceptance Corp., 6.875%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Motors Corp., 8.25%, 7/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>282,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodyear Tire &amp; Rubber Co., 7.857%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lear Corp., 8.11%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>103,162</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>455</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>439,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Stanadyne Corp., 10.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Tenneco, Inc., 8.625%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,728,306</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic
  Materials&#151;15.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Abitibi-Consolidated Co., 8.375%, 4/01/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>167,063</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Alpha Natural Resources LLC/Alpha Natural Resources
  Capital Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>224,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Arch Western Finance LLC, 6.75%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>148,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BCI US Finance Corp./Borden 2 Nova Scotia Finance
  ULC, 10.577%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>71,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bowater, Inc., 7.91%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>131,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>631,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cascades, Inc., 7.25%, 2/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>166,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Catalyst Paper Corp., 7.375%, 3/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>159,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>305</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Century Alum Co., 7.50%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>316,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>49,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Domtar, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 8/15/15
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 10/15/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>174,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Donohue Forest Products, 7.625%, 5/15/07 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Equistar Chemicals LP/Equistar Funding Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 2/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.125%, 9/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>123,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.625%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>108,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>21</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic
  Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>108,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>365</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>411,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.318%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>183,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>IMC Global, Inc., 10.875%, 6/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>37,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ineos Group Holdings PLC, 8.50%, 2/15/16 (United
  Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>293,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>664,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ipsco, Inc., 8.75%, 6/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>351,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>366</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ispat Inland ULC, 9.75%, 4/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>410,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lyondell Chemical Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>291,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 9.625%,
  5/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>237,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nalco Co., 8.875%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>351,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>402,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nova Chemicals Corp., 8.405%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>402,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Republic Technologies Intl. LLC, 13.75%, 7/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rhodia SA,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 6/01/11
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>153</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 6/01/10
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170,978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rockwood Specialties Group, Inc., 7.50%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Russel Metals, Inc., 6.375%, 3/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>122,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,378,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Building
  &amp; Development&#151;5.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ahern Rentals, Inc., 9.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>260,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ainsworth Lumber Co. Ltd., 8.71%, 10/01/10 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compression Polymers Corp., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>153,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ERICO Intl. Corp., 8.875%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>592,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodman Global Holding Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.491%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>45,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>K Hovnanian Enterprises, Inc., 6.25%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>229,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>North American Energy Partners, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>335</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 12/01/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>327,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 6/01/10
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>397,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>WCI Communities, Inc., 7.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>118,906</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,477,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Business
  Equipment &amp; Services&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Xerox Corp., 6.875%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>61,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Consumer
  Products&#151;6.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ALH Finance LLC, 8.50%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>B&amp;G Foods, Inc., 8.00%, 10/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>179,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cenveo Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>146,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>214,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Finlay Fine Jewelry Corp., 8.375%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>232,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>294</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Gold Kist, Inc., 10.25%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310,170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Knowledge Learning Corp., Inc., 7.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>363,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lazydays RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Levi Strauss &amp; Co., 9.74%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Merisant Co., 9.50%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>251,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Movie Gallery, Inc., 11.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>63,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>C</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nebco Evans Holding Co., 12.375%, 7/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Neiman-Marcus Group, Inc., 9.00%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nutro Products, Inc., 9.23%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pantry, Inc., 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>268,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>435</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rite Aid Corp., 6.125%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>427,387</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Smithfield Foods, Inc., 7.00%, 8/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>74,063</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,360,926</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>22</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Containers
  &amp; Packaging&#151;3.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Covalence Specialty Materials Corp., 10.25%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>155,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crown Americas LLC and Crown Americas Capital Corp.,
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>163,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>540</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Crown Cork &amp; Seal, Inc., 8.00%, 4/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>522,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crown European Holdings SA, 7.375%, 12/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>106,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>153,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Packaging Dynamics Finance Corp., 10.00%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>86,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>251,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Smurfit-Stone Container Enterprises, Inc., 9.75%,
  2/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>359,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,799,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Ecological
  Services &amp; Equipment&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Allied Waste NA, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>Ser. B, 5.75%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>109,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>Ser. B, 8.50%, 12/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>84,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>191,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>385,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;24.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AES Red Oak LLC, 8.54%, 11/30/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>147,918</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ANR Pipeline Co., 9.625%, 11/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>233,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Aquila Finance Corp., 7.75%, 6/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>119,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>228</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CE Generation LLC, 7.416%, 12/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>234,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>103,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>6.50%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>251,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Clayton Williams Energy, Inc., 7.75%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>188,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CMS Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.50%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>8.50%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>9.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Colorado Interstate Gas Co., 6.80%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compagnie Generale de Geophysique SA,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.50%, 5/15/15 (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>92,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.50%, 5/15/15 (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>148,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.625%, 12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>173,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Copano Energy LLC, 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>102,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dresser, Inc., 9.375%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>62,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>435</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dynegy Danskammer LLC, 7.27%, 11/08/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>443,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>El Paso Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.75%, 6/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>61,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>10.75%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>240,262</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>El Paso Natural Gas Co., 7.625%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>67,113</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>770</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>812,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>271,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Foundation Pennsylvania Coal Co., 7.25%, 8/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>201,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Frontier Oil Corp., 6.625%, 10/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>64,594</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Grant Prideco, Inc., 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>48,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hanover Compressor Co., 8.625%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>203,287</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hilcorp Energy I LP/Hilcorp Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>7.75%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>113,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>10.50%, 9/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Homer City Funding LLC, 8.734%, 10/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hornbeck Offshore Services, Inc., 6.125%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>403,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Midwest Generation LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>228</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  style="margin-left:8.65pt"><FONT SIZE=1>8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>244,601</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  style="margin-left:8.65pt"><FONT SIZE=1>8.75%, 5/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>102,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>23</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Mirant Americas Generation LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>221,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>136,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 5/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>341,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>685</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Mission Energy Holdings Co., 13.50%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>779,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Newfield Exploration Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.625%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.375%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>468,487</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ocean Rig AS, 8.375%, 7/01/13 (Norway)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>431,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Plains Exploration &amp; Production Co., 7.125%,
  6/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pogo Producing Co., 6.875%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>97,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Pride Intl., Inc., 7.375%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>217,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Range Resources Corp., 7.375%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>188,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Reliant Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>354,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>183,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sithe Independence Funding, 9.00%, 12/30/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,139</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>203,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Tennessee Gas Pipeline Co., 8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>178,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transcontinental Gas Pipe Line Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 12/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>66,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. B, 8.875%,
  7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>451,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>TXU Corp., 6.55%, 11/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>117,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Verasun Energy Corp., 9.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>79,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Whiting Petroleum Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>138,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Williams Cos., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 7/15/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>374,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,720,841</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Entertainment
  &amp; Leisure&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>French Lick Resorts &amp; Casino LLC, 10.75%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Gaylord Entertainment Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>268,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>41,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Greektown Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>219,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MGM Mirage,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%, 10/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>265,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>59,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>305</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Poster Financial Group, Inc., 8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>321,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Riddell Bell Holdings, Inc., 8.375%, 10/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>184,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>San Pasqual Casino, 8.00%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Seneca Gaming Corp., 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>140,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Station Casinos, Inc., 6.625%, 3/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>435</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Virgin River Casino, 9.00%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>441,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
  6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,400,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions&#151;17.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>186</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AES Ironwood LLC, 8.857%, 11/30/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>206,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Real Estate Partners LP/American Real Estate
  Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>184,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>303</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BCP Crystal US Holdings Corp., 9.625%, 6/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>333,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Capital Guardian High Yield CBO Ltd., 11.45%, 5/24/13
  (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,003,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>353,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crystal US Holdings 3 LLC/Crystal US Sub. 3 Corp.,
  10.50%, 10/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>24</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>E*Trade Financial Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>91,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fairfax Financial Holdings Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 4/15/08
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>383</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 4/26/12
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>363,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 4/15/26
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>44,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>First Dominion Funding II, 11.614%, 4/25/14 (Cayman
  Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,371,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ford Motor Credit Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.70%, 1/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 10/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>156,878</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Acceptance Corp., 6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>286,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>K&amp;F Acquisition, Inc., 7.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>409,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>618,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>490</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.375%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>550,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Standard Aero Holdings, Inc., 8.25%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>575,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Universal City Florida Holding Co. I/II, 9.899%,
  5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>31,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Western Financial Bank, 9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>77,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>C</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Zais Investment Grade Ltd., 9.95%, 9/23/14 (Cayman
  Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>316,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,481,643</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Health
  Care&#151;3.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>281,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Coventry Health Care, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.875%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>78,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.125%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Curative Health Services, Inc., 10.75%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>HCA, Inc., 5.50%, 12/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>146,051</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MedQuest, Inc., 11.875%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Norcross Safety Products LLC/Norcross Capital Corp.,
  9.875%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>141,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Select Medical Corp., 7.625%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Tenet Healthcare Corp., 6.875%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal Hospital Services, Inc., 10.125%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>525,831</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,572,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Industrials&#151;6.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>368</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Blount, Inc., 8.875%, 8/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>382,720</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Concentra Operating Corp., 9.125%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>204,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>163</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>JLG Industries, Inc., 8.375%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>171,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>370</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NationsRent Cos., Inc., 9.50%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>400,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>198,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rent-A-Center, Inc., 7.50%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>248,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>477,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Terex Corp., 7.375%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Trimas Corp., 9.875%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>198,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Rentals NA, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>515</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,964,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;12.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.125%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180,906</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>164,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Allbritton Communications Co., 7.75%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>266,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>American Media Operations, Inc., 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cablevision Systems Corp., 9.62%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Charter Communications Holdings II, LLC/Charter
  Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>605</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>612,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>25</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CSC Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>423,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>153,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. B, 7.625%,
  4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>45,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DirecTV Holdings LLC, 6.375%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>53,763</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Echostar DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.375%, 10/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>82,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>253,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.24%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>61,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fisher Communications, Inc., 8.625%, 9/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>94,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Cable Corp., 9.50%, 11/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Medianews Group, Inc., 6.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Network Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>240</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>225,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Paxson Communications Corp., 8.318%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>128,281</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Primedia, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>72,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.545%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>281,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quebecor World, Inc., 8.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>145,482</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>615</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>RH Donnelley Corp., 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>632,681</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Scholastic Corp., 5.00%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>142,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Unity Media GmbH, 10.375%, 2/15/15 (Germany)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vertis, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>285,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>139,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>367,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,991,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Real
  Estate&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Real Estate Partners, 8.125%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>309,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Technology&#151;7.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Amkor Technology, Inc., 9.25%, 2/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>179,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Flextronics Intl. Ltd., 6.50%, 5/15/13 (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>59,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Freescale Semiconductor, Inc., 7.818%, 7/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South
  Korea)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MagnaChip Semiconductor SA/MagnaChip Semiconductor
  Finance Co., (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>467,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sensata Technologies BV, 8.00%, 5/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SS&amp;C Technologies, Inc., 11.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>224,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>STATS ChipPAC Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 11/15/11
  (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 7/19/10
  (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>222,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sungard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>101,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.431%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>244,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>476,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Superior Essex Communications LLC/Essex Group, Inc.,
  9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>397,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>UGS Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>301,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,697,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Telecommunications&#151;11.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Adelphia Business Solutions, 12.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Asia Global Crossing Ltd., 13.375%, 10/15/10
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>182</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AT&amp;T Corp., 7.30%, 11/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>196,559</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>455</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Centennial Communications Corp., 8.125%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>468,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>405</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>413,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dobson Cellular Systems, Inc., 8.375%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>275,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>26</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="99%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hawaiian Telcom Communications, Inc., 10.789%,
  5/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>103,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Intelsat Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>47,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 1/15/13
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>245</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.625%, 1/15/15
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>255,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>345</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.614%, 1/15/12
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>351,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lucent Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.45%, 3/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>119,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>387</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>339,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>462,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nortel Networks Corp., 6.875%, 9/01/23 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>191,419</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PanAmSat Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>189,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>284,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>PF Net Communications, Inc., 13.75%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>628,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>137,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rogers Wireless, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>414,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Wind Acquisition Finance SA, 10.75%, 12/01/15
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>411,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,726,118</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Transportation&#151;2.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Airlines, Inc., 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>274,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hertz Corp., 8.875%, 1/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>79,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>430</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Horizon Lines LLC, 9.00%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>447,737</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>OMI Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Overseas Shipholding Group, Inc., 7.50%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>347,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,429,706</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>64,600,358</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Bank
  Loans&#151;3.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Consumer
  Products&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dunkin Brands, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>139</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.60%,
  3/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>139,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>351</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 4.30%,
  3/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>349,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>488,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Navistar Financial Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 4.75%,
  2/28/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130,506</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>787</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.00%,
  2/28/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>789,681</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>327</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NTL, Inc., LIBOR, 3/23/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>326,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,246,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Bank Loans</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,735,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

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


<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Common
  Stocks&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Comsumer
  Products&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,992</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mattress Discounters Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Technology&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>68,358</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Globix Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>231,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Common Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>231,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>27</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Units<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Warrants&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,5,6,7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Mattress Discounters Corp., expires 7/15/07, strike
  price $0.01, 4.85 shares of 1 warrant</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>6,7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Neon Communications, Inc., expires 12/02/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3,6,7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>PF. Net Communications, Inc., expires 5/15/10, strike
  price $0.01, 36.87243 shares for 1 warrant</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Warrants</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1"><B>Total Long-Term Investments </B>(cost $75,713,386<SUP>9</SUP>) </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>66,566,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>SHORT-TERM
  INVESTMENT&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Zero Coupon Bond&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Bank Discount Notes, 4.71%, 5/01/06
  (cost $800,000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>800,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1"><B>Total
Investments&#151;138.8% </B>(cost $76,513,386<SUP>9</SUP>) </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>67,366,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Liabilities in excess of other assets&#151;(38.8)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(18,847,047</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Net
  Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,519,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP COLSPAN=2>
<HR SIZE="1" NOSHADE WIDTH="120" ALIGN="LEFT">
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Issuer is in default and/or
  bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P> <FONT SIZE=1>Security is not registered under
  the Securities Act of 1933. These securities may be resold in transactions in
  accordance with Rule 144A under that Act, to qualified institutional buyers.
  As of April 30, 2006, the Trust held 31.0% of its net assets, with a current
  market value of $15,021,505, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Variable rate security. Rate
  shown is interest rate as of April 30, 2006.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Non-income producing
  security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Illiquid security. As of
  April 30, 2006, the Trust held less than 0.1% of its net assets, with a
  current market value of $1 in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rate shown is the yield to
  maturity as of April 30, 2006.</FONT> </P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Cost for Federal income tax
  purposes is $76,541,156. The net unrealized depreciation on a tax basis is
  $9,174,202, consisting of $1,191,253 gross unrealized appreciation and
  $10,365,455 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</TABLE>

<P STYLE="MARGIN-LEFT:5%"><FONT SIZE=1>A category in the Corporate
Bonds section may contain multiple industries as defined by the SEC&#146;s Standard
Industry Codes.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>28</FONT></P>

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


<P><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited) <BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-RIGHT:0IN;   MARGIN-LEFT:0IN; '><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>LONG-TERM INVESTMENTS&#151;109.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Mortgage Pass-Through Securities&#151;11.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,106</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.359%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,094,838</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,039</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.152%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,988,766</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal National
  Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>432</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  12/01/13-12/01/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>422,110</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>36,745</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%, 5/18/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,008,454</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>966</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%,
  3/01/16-7/01/35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>980,667</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>187</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%,
  2/01/24-10/01/28</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>191,804</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA, 6.00%,
  5/01/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>199,062</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>114</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Government
  National Mortgage Assoc., 4/15/24-11/15/25</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>121,988</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Mortgage
  Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>41,007,689</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Federal Housing Administration Securities&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Motors
  Acceptance Corp. Projects,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>347</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 37, 7.43%,
  5/01/22</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>346,626</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>198</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 44, 7.43%,
  8/01/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>197,358</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Merrill Projects,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>155</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 29, 7.43%,
  10/01/20</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>154,921</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>52</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 42, 7.43%,
  9/01/22</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,347</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,827</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reilly Project,
  7.40%, 4/01/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,823,416</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,836</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Westmore Project,
  7.25%, 4/01/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,823,301</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Federal
  Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,397,969</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Agency Multiple Class Mortgage Pass-Through
  Securities&#151;9.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,572</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 82, Class
  HJ, 5.50%, 9/25/32</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,524,451</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2874, Class
  BC, 5.00%, 10/15/19</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,586,568</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,390</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2883, Class
  DR, 5.00%, 11/15/19</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,283,470</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,744</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2922, Class
  GA, 5.50%, 5/15/34</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,687,363</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,057</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2927, Class
  BA, 5.50%, 10/15/33</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,030,112</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,018</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2933 Class
  HD, 5.50%, 2/15/35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,997,094</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,725</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2968, Class
  EG, 6.00%, 10/15/34</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,701,844</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal National
  Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,687</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class PK,
  5.00%, 12/25/34</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,597,355</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,278</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 27, Class
  PC, 5.50%, 5/25/34</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,240,430</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,855</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 118, Class
  FD, 5.359%, 12/25/33</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,865,828</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA, 5.50%,
  5/01/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,449,222</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,751</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Government
  National Mortgage Assoc., 6.00%, 6/20/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,767,742</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Agency
  Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,731,479</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Non-Agency Multiple Class Mortgage Pass-Through
  Securities&#151;2.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,544</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Residential
  Funding Securities Corp., 8.50%, 5/25/33</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,042,261</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Summit Mortgage
  Trust, 6.241%, 12/28/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,531</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Non-Agency
  Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,052,792</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Inverse Floating Rate Mortgage Securities&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>9</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1043, Class
  H, 21.938%, 2/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,211</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>749</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1611, Class
  JC, 10.00%, 8/15/23</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>767,474</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal National
  Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,808</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 23, Class
  PS, 8.863%, 4/25/23</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,821,249</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 46, Class S,
  1,381.156%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,979</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 49, Class S,
  518.05%, 12/25/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,569</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 87, Class S,
  13.515%, 8/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>89,439</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 145, Class
  S, 18.659%, 10/25/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>139</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Total Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,692,060</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>29</FONT></P>

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

<P><FONT SIZE="2"><B>BlackRock Income Opportunity
Trust (BNA) (continued)</B> </FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Asset-Backed Securities&#151;9.7%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,025</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Capital Auto
  Receivables Asset Trust, 5.03%, 10/15/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,009,403</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Citibank Credit
  Card Issuance Trust, 4.85%, 2/10/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,094,150</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Countrywide
  Asset-Backed Certificates,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,818</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 15, Class
  2AV1, 5.059%, 4/25/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,818,775</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,956</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 16, Class
  4AV1, 5.059%, 1/25/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,957,068</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,150</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>DaimlerChrysler
  Auto Trust, 5.00%, 5/08/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,137,101</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ford Credit Auto
  Owner Trust, 5.05%, 11/15/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,388,514</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,075</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>MBNA Credit Card
  Master Note Trust, 4.90%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,050,546</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,414</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Merrill Lynch
  Mortgage Investors, Inc., 5.069%, 9/25/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,415,206</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,884</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>New Century Home
  Equity Loan Trust, 5.039%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,885,158</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>SLM Student Loan
  Trust,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>886</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 9, Class A2,
  5.12%, 10/25/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>885,682</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,508</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class
  A1, 5.07%, 4/25/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,506,992</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,924</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Structured Asset
  Investment Loan Trust, 5.039%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,926,484</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,075</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>USAA Auto Owner
  Trust, 5.01%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,061,598</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total
  Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>36,136,677</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Interest Only Asset-Backed Securities&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,238</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Morgan Stanley
  Capital Trust I, 1.756%, 6/15/17</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,547</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sterling Coofs
  Trust,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,253</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1, 2.362%,
  4/15/29</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,977,731</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>32,945</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, 1.00%,
  3/30/30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,306,150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Interest
  Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,293,428</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Interest Only Mortgage-Backed Securities&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 176, Class
  M, 1,010.00%, 7/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 192, Class
  U, 1,009.033%, 2/15/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 200, Class
  R, 98,500.338%, 12/15/22</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1054, Class
  I, 435.32%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>171</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1056, Class
  KD, 1,084.50%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,139</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1057, Class
  J, 1,008.001%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,311</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1148, Class
  E, 592.552%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>527</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1179, Class
  O, 1,009.389%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1221, Class
  H, 1,006.50%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>224</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1254, Class
  Z, 8.50%, 4/15/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>371</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>427</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1831, Class
  PG, 6.50%, 3/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>37,976</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,231</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2611, Class
  QI, 5.50%, 9/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,331,487</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>109</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class H,
  9.00%, 1/25/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,198</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>8</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class 2,
  8.50%, 4/01/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,562</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class S,
  584.13%, 3/25/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,740</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class S,
  565.227%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,496</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 12, Class S,
  597.224%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,263</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 17, Class S,
  570.485%, 6/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,720</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 33, Class
  PV, 1,078.42%, 10/25/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,487</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 38, Class N,
  1,008.50%, 4/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>396</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 46, Class H,
  1,042.50%, 12/25/09</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66,638</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 50, Class
  SI, 1.20%, 4/25/23</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,401</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 84, Class H,
  1,100.633%, 8/25/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 89, Class 2,
  8.00%, 6/01/18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,747</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,031</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 90, Class
  JH, 1.741%, 11/25/34</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,410,164</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 94, Class 2,
  9.50%, 8/01/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,033</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 99, Class L,
  930.00%, 8/25/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,783</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 123, Class
  M, 1,009.50%, 10/25/20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>471</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 136, Class
  S, 15.12%, 11/25/20</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,056</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 139, Class
  PT, 648.35%, 10/25/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,551</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 141, Class
  SA, 15.125%, 8/25/07</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>337</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>5,729</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Goldman Sachs
  Mortgage Securities Corp., 0.999%, 2/19/25</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>121,316</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,044</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Salomon Brothers
  Mortgage Securities VII, 0.413%, 3/25/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,079</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Interest
  Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,075,833</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>30</FONT></P>


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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Principal Only Mortgage-Backed Securities&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>122</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp., Zero Coupon, 2/15/24</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>108,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal National
  Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>72</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 51, Class E,
  8.00%, 2/25/23</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 70, Class A,
  7.00%, 5/25/23</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>32</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 167, Class
  D, 8.50%, 10/25/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,576</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 203, Class
  1, 8.00%, 2/01/23</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 228, Class
  1, 7.00%, 5/01/23</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,511</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Principal
  Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>245,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Commercial Mortgage-Backed Securities&#151;4.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,320</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Bear Stearns
  Commercial Mortgage Services, 4.945%, 2/11/41</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,235,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,970</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Credit Suisse
  First Boston Mortgage Securities Corp., 4.94%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,861,454</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,090</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>First Union
  National Bank Commercial Mortgage Trust, 7.202%, 10/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,207,709</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Motors
  Acceptance Corp. Commercial Mortgage Securities, Inc., 4.547%, 12/10/41</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,346,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>JP Morgan Chase Commercial Mortgage Securities Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,990</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C1, Class
  A3, 5.857%, 10/12/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,011,989</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,380</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. CBX, Class
  A4, 4.529%, 1/12/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,261,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,530</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LB-UBS Commercial
  Mortgage Trust, 5.155%, 6/15/29</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,478,213</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Commercial
  Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>16,403,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=2><B>Collateralized
  Mortgage Obligation Residual Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Collateralized
  Mortgage Obligation Trust,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 40, Class R,
  580.50%, 4/01/18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>229</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 42, Class R,
  6,000.00%, 10/01/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,306</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 19, Class R,
  9,757.349%, 3/15/20</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 75, Class R,
  9.50%, 1/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 75, Class
  RS, 16.26%, 1/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 173, Class
  R, 9.00%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 173, Class
  RS, 9.086%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>6</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Painewebber CMO
  Trust, 13.80%, 9/01/18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total
  Collateralized Mortgage Obligation Residual Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Collateralized Mortgage Obligation
Securities&#151;3.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,620</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DLJ Commercial Mortgage Corp., 7.18%, 11/10/33</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,765,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>397</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2582, Class
  TB, 3.50%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,409</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2806, Class
  VC, 6.00%, 12/15/19</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,395,696</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,630</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>First
  Union-Lehman Brothers-Bank of America, 6.778%, 11/18/35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,800,649</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,310</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>GE Capital Commercial Mortgage Corp., 6.269%,
  12/10/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,368,997</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,580</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Motor
  Acceptance Corp. Commercial Mortgage Securities, Inc., 4.93%, 7/10/39</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,482,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Collateralized
  Mortgage Obligation Securities</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,209,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Corporate Bonds&#151;49.1%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Aerospace &amp; Defense&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Armor Holdings, Inc., 8.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>106,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>BE Aerospace,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>415,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>151,344</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,630</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>DI
  Finance/DynCorp. Intl., 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,703,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>DRS Technologies,
  Inc., 7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>81,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Raytheon Co.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>712</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.15%, 11/01/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>723,993</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 5/15/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,531,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sequa Corp.,
  8.875%, 4/01/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>104,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>United
  Technologies Corp., 4.875%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,176,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Aerospace
  &amp; Defense</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,995,590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>ArvinMeritor,
  Inc., 8.75%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Autonation, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.045%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>162,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>See Notes to Financial
Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>31</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Automotive&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Avis Budget Car
  Rental LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.576%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,863</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>76,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Dura Operating
  Corp., 8.625%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>770</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Motors
  Corp., 8.25%, 7/15/23</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>558,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Goodyear Tire
  &amp; Rubber Co., 7.857%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>34,475</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>345</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Lear Corp.,
  8.11%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>338,962</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>520</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Metaldyne Corp.,
  10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>501,800</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Tenneco, Inc.,
  8.625%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Automotive</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,111,775</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=2><B>Basic
  Materials&#151;3.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Abitibi-Consolidated
  Co., 8.375%, 4/01/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70,700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>955</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>AK Steel Corp.,
  7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>966,937</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>BCI US Finance
  Corp./Borden 2 Nova Scotia Finance ULC, 10.577%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,800</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Bowater, Inc.,
  7.91%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90,900</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,185</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Caraustar
  Industries, Inc., 9.875%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,352,212</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29,925</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Domtar, Inc.,
  7.125%, 8/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>72,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Donohue Forest
  Products, 7.625%, 5/15/07 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>171,488</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Equistar
  Chemicals LP/Equistar Funding Corp., 10.625%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>326,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>72</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>82,440</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>259,325</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>235</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.318%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>246,163</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>IMC Global, Inc.,
  10.875%, 6/01/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>75,425</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ineos Group Holdings PLC, 8.50%, 2/15/16 (United
  Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>709,687</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Innophos, Inc.,
  8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,184,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ispat Inland ULC,
  9.75%, 4/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>151,538</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Lyondell Chemical
  Co.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>145,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,785</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.125%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,981,350</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 9.625%,
  5/01/07</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>480,113</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nalco Co.,
  8.875%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>61,950</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>316,388</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>490</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nova Chemicals
  Corp., 8.405%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>493,062</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Oregon Steel
  Mills, Inc., 10.00%, 7/15/09</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,058,750</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Rhodia SA,
  (France)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>204</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>211,650</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 6/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29,055</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Teck Cominco
  Ltd., 6.125%, 10/01/35 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>157,276</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,807,084</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Building &amp; Development&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ahern Rentals,
  Inc., 9.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>83,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Compression
  Polymers Corp., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>235,750</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>780</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>ERICO Intl.
  Corp., 8.875%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>803,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>695</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodman Global Holding Co., Inc., 7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>696,737</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>North American
  Energy Partners, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>53,763</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 6/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>318,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,191,050</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Consumer Products&#151;2.1%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>ALH Finance LLC,
  8.50%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>93,100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Cenveo Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>275</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>268,125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>575</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>615,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>560</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federated
  Department Stores, Inc., 6.79%, 7/15/27</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>556,760</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>335</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Finlay Fine
  Jewelry Corp., 8.375%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>293,963</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Gold Kist, Inc., 10.25%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>94,950</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>855</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Knowledge
  Learning Corp., Inc., 7.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>818,662</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>See Notes to Financial
Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>32</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Consumer Products&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Lazydays RV
  Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380,475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>470</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Levi Strauss
  &amp; Co., 9.74%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>489,975</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Movie Gallery,
  Inc., 11.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nutro Products,
  Inc., 9.23%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Procter &amp;
  Gamble Co., 6.875%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,140,989</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Quiksilver, Inc.,
  6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>289,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>790</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Rite Aid Corp.,
  6.125%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>776,175</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Consumer
  Products</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,947,674</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Containers &amp; Packaging&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>240</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Covalence
  Specialty Materials Corp., 10.25%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>248,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Crown Americas LLC
  &amp; Crown Americas Capital Corp., 7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>153,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,850</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Owens-Brockway
  Glass Container, Inc., 8.875%, 2/15/09</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,924,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Packaging
  Dynamics Finance Corp., 10.00%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>86,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>430</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Pregis Corp.,
  12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450,963</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Smurfit-Stone
  Container Enterprises, Inc., 9.75%, 2/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>287,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,240</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Stone Container
  Corp., 9.25%, 2/01/08</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,288,050</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Containers
  &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,439,188</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE="2"><B>Ecological Services &amp;
Equipment&#151;0.9%</B> </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Allied Waste NA,
  Inc., 5.75%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>243,525</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Casella Waste
  Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,393,438</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Waste Services,
  Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>622,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Ecological
  Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,259,463</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Energy&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ANR Pipeline Co.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>148,988</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>565</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 11/01/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>677,294</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>315</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Aquila Finance
  Corp., 7.75%, 6/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>326,025</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Chaparral Energy,
  Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195,700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Chesapeake Energy
  Corp., 6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>19,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Clayton Williams Energy, Inc., 7.75%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>122,525</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CMS Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,963</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>123,338</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,763</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Compagnie Generale de Geophysique SA, 7.50%, 5/15/15
  (France)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>185,850</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Compton Petroleum
  Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>133,819</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13
  (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>188,337</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,970</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>ConocoPhillips
  Australia Funding Co., 5.128%, 4/09/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,969,382</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Dresser, Inc.,
  9.375%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>466,694</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Dynegy Danskammer LLC, 7.27%, 11/08/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>204,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>El Paso Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.80%, 8/01/31</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>119,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.75%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>139,688</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>El Paso Natural
  Gas Co.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,032,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>166,125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>258</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Elwood Energy
  LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>272,187</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>425</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>EnCana Corp.,
  6.50%, 8/15/34 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>432,662</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>365</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>360,437</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>480</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>FirstEnergy
  Corp., 6.45%, 11/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>494,971</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>575</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Florida Power
  &amp; Light Co., 4.95%, 6/01/35</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>479,969</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Grant Prideco,
  Inc., 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>86,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Halliburton Co.,
  7.60%, 8/15/96</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>204,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Hilcorp Energy I
  LP/Hilcorp Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>251,175</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>136</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 9/01/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>148,240</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>KCS Energy, Inc.,
  7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>216,612</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>See Notes to Financial
Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>33</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Kinder Morgan
  Energy Partners LP, 7.30%, 8/15/33</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,321,926</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Kinder Morgan,
  Inc., 6.50%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,028,411</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>112</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Midwest
  Generation LLC, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>119,902</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Mirant Americas
  Generation LLC,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,625</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,825</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 5/01/31</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>262,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,020</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Mission Energy
  Holdings Co., 13.50%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,160,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>287,137</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ocean Rig AS,
  8.375%, 7/01/13 (Norway)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115,775</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Orion Power
  Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>159,075</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>650</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Progress Energy,
  Inc., 7.75%, 3/01/31</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>739,631</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reliant Energy,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>295,750</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Scottish Power
  PLC, 5.375%, 3/15/15 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>167,465</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Talisman Energy,
  Inc., 5.85%, 2/01/37 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>59,314</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Targa Resources,
  Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>365,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Texaco Capital,
  Inc., 8.875%, 9/01/21</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>423,674</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Transcanada
  Pipelines Ltd., 5.85%, 3/15/36 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>566,830</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Transcontinental
  Gas Pipe Line Corp., 7.25%, 12/01/26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Verasun Energy
  Corp., 9.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>127,800</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Whiting Petroleum
  Corp., 7.00%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>54,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>610</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Williams Cos.,
  Inc., 8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>701,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,075</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>XTO Energy, Inc.,
  6.10%, 4/01/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,014,373</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,600,007</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Entertainment &amp; Leisure&#151;1.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>AMC
  Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>197,950</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Gaylord
  Entertainment Co., 6.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>239,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Greektown
  Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>392,813</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>MGM Mirage,
  9.75%, 6/01/07</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,037,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Park Place
  Entertainment Corp., 8.875%, 9/15/08</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,120,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>205</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Poster Financial
  Group, Inc., 8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>216,275</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>San Pasqual
  Casino, 8.00%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>111,100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>290</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Seneca Gaming
  Corp., 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>290,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,930</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Starwood Hotels
  &amp; Resorts Worldwide, Inc., 7.875%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,069,925</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Wynn Las Vegas
  LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>24,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total
  Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,699,188</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Financial Institutions&#151;16.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>American Real
  Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>348,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Bank of America
  Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.50%, 8/01/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,935,859</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.80%, 2/15/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,645,645</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,465</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Barclays Bank PLC
  NY, 4.90%, 3/13/09</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,465,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>BCP Crystal US
  Holdings Corp., 9.625%, 6/15/14 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>220,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bear Stearns Co., Inc., 6.50%, 5/01/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,019</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,525</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Berkshire
  Hathaway Finance Corp., 3.375%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,419,385</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Citigroup, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>5,975</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.125%, 2/22/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,715,314</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 2/15/98</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>572,708</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Credit Suisse
  First Boston, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.125%, 11/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>718,902</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 7/15/32</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,121,624</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,090</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Crum &amp;
  Forster Holdings Corp., 10.375%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,133,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>950</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Deutsche Bank AG,
  3.843%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>934,800</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>E*Trade Financial
  Corp., 7.375%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>111,925</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Fairfax Financial
  Holdings Ltd., 7.75%, 4/26/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>171,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>34</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Financial Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Fort Irwin Land
  LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>780</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, Class II,
  5.30%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>694,512</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Aaa</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>575</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A-1, 5.03%,
  12/15/25</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>514,366</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Electric
  Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,670</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.45%, 1/15/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,656,605</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,230,951</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>510</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Motors
  Acceptance Corp., 6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>471,631</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Goldman Sachs
  Group, Inc., 6.60%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,041,824</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,035</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Household Finance
  Corp., 6.375%, 10/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,071,076</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>K&amp;F
  Acquisition, Inc., 7.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>368,100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>KFW Intl.
  Finance, Inc., 5.25%, 6/28/06</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,999,748</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Lehman Brothers
  Holdings, Inc., 6.625%, 1/18/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,568,792</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>4,840</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Morgan Stanley
  Group, Inc., 4.91%, 3/07/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,838,551</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>685</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nell AF SARL,
  8.375%, 8/15/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>678,150</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>6,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Rabobank
  Nederland Global, 5.01%, 4/06/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,098,503</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Rainbow National
  Services LLC,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>240,188</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,650</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.375%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,852,125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>AA-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>395</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>RBS Capital Trust
  I, 4.709%, 12/29/49</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>362,031</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>775</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Standard Aero
  Holdings, Inc., 8.25%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>685,875</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>UBS Capital IX, 6.189%, 3/29/49</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>544,660</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>UBS Preferred
  Funding Trust I, 8.622%, 10/29/49</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,219,854</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Universal City
  Florida Holding Co. I/II, 9.899%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>580</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Wachovia Capital
  Trust III, 5.80%, 3/15/42</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>578,007</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Wells Fargo &amp;
  Co., 4.625%, 8/09/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>970,268</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Wells Fargo Bank,
  7.55%, 6/21/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,152,407</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Western Financial
  Bank, 9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Financial
  Institutions</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60,959,630</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=2><B>Health
  Care&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>475</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Angiotech
  Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>477,375</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Curative Health
  Services, Inc., 10.75%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>275</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MedQuest, Inc., 11.875%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>229,625</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Select Medical
  Corp., 7.625%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>191,625</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>475</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Tenet Healthcare
  Corp., 6.875%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390,688</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>UnitedHealth Group, Inc., 5.80%, 3/15/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>319,940</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Universal
  Hospital Services, Inc., 10.125%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>468,563</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>WellPoint, Inc.,
  5.85%, 1/15/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110,356</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,200,672</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE="2"><B>Industrials&#151;1.6%</B> </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Briggs &amp;
  Stratton Corp., 8.875%, 3/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,200,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,306</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Manitowoc, Inc.,
  10.50%, 8/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,431,703</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>470</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NationsRent Cos., Inc., 9.50%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>508,775</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Park-Ohio
  Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>439,425</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>530</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sunstate
  Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>561,800</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Trimas Corp., 9.875%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>141,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>770</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>United Rentals
  NA, Inc., 7.00%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>741,125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,024,578</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Media&#151;5.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>395</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.125%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>398,704</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>225,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Allbritton
  Communications Co., 7.75%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>462,300</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>340</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>American Media Operations, Inc., 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>320,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>AOL Time Warner,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,635</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.57%, 2/01/24</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,730,167</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,434,505</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,415</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>AT&amp;T
  Broadband Corp., 8.375%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,583,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>BSKYB Finance UK
  PLC, 6.50%, 10/15/35 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,323</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>161</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cablevision
  Systems Corp., 9.62%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170,660</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>35</FONT></P>

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

<P><FONT SIZE="2"><B>BlackRock Income Opportunity
Trust (BNA) (continued)</B> </FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Charter
  Communications Holdings II, LLC/Charter Communications Holdings II Capital
  Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>645</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>653,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>180,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Comcast Cable
  Communications, Inc., 6.75%, 1/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,040,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CSC Holdings,
  Inc., 7.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>306,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Echostar DBS
  Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.75%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>177,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.24%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>137,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>General Cable
  Corp., 9.50%, 11/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>269,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Medianews Group,
  Inc., 6.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>182,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Network
  Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>News America
  Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.15%, 10/17/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>161,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.45%, 8/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,835,708</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nexstar Finance,
  Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Paxson
  Communications Corp., 8.318%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>513,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Primedia, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>82,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.545%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>471,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Quebecor World,
  Inc., 8.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>875</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>RH Donnelley
  Corp., 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>900,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sirius Satellite
  Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>127,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,495</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TCI
  Communications, Inc., 8.75%, 8/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,723,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Unity Media GmbH,
  10.375%, 2/15/15 (Germany)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>89,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Vertis, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>570</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>581,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>255</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>244,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>965</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Young
  Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>885,387</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,795,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Real Estate&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>AvalonBay
  Communities, Inc., 6.625%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,043,443</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>EOP Operating LP,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.65%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>814,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,070</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 6/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,104,542</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Rouse Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>725</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.625%, 3/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>674,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,715</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.375%, 11/26/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,586,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,223,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Technology&#151;1.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>430</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Amkor Technology,
  Inc., 9.25%, 2/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>453,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>555</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Celestica, Inc.,
  7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>555,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Hynix
  Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MagnaChip Semiconductor SA/MagnaChip Semiconductor
  Finance Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>290</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 12/15/11
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>291,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Seagate
  Technology Holdings, 8.00%, 5/15/09 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,070,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sensata
  Technologies BV, 8.00%, 5/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>212,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>SS&amp;C Technologies,
  Inc., 11.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>314,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>STATS ChipPAC
  Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 11/15/11
  (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>342,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 7/19/10
  (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sungard Data
  Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>112,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>315</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.431%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>335,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>625</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>668,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>960</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Superior Essex
  Communications LLC/Essex Group, Inc., 9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>967,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>UGS Corp.,
  10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>427,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,925,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>36</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Telecommunications&#151;3.7%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Bellsouth Telecommunications,
  6.65%, 12/15/95</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>775,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cincinnati Bell,
  Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>275,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Deutsche Telekom
  Intl. Finance BV, 5.75%, 3/23/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>313,882</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Hawaiian Telcom
  Communications, Inc., 10.789%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175,100</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Intelsat Ltd.,
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.625%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>312,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P align=center><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>315</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.614%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>320,512</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Lucent
  Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.45%, 3/15/29</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150,450</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>895</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>785,362</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>935</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nordic Telephone
  Co. Holdings ApS, 8.875%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>972,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Nortel Networks
  Corp., 6.875%, 9/01/23 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PanAmSat Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>168,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>57,612</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>408,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Sprint Capital
  Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,205</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 11/15/28</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,239,124</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,551,730</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>575</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Verizon Global Funding Corp., 7.75%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>629,203</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Verizon Maryland,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>540</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.125%, 6/15/33</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>414,461</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,355</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 6.125%,
  3/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,348,822</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Verizon Virginia, Inc., 4.625%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>674,301</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Vodafone Group
  PLC,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,615</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.05%, 12/28/07
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,615,536</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 2/15/10
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,069,713</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3604</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Wind Acquisition Finance SA, 10.75%, 12/01/15
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>395,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total
  Telecommunications</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,799,783</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Transportation&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>American
  Airlines, Inc., 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>116,400</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Canadian National Railway Co., 6.375%, 10/15/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,040,115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CHC Helicopter
  Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>457,875</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Hertz Corp.,
  8.875%, 1/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,462</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>47</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Horizon Lines
  LLC, 9.00%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>48,939</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>OMI Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>61,650</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total
  Transportation</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,799,441</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Corporate
  Bonds</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>182,779,359</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;15.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Overseas Private
  Investment Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>336</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.09%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>295,197</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>939</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.30%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>845,550</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>702</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.64%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>640,028</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>396</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.68%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>351,191</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,996</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.87%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,757,196</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>3,706</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.40%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,558,763</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,055</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Resolution
  Funding Corp., Zero Coupon, 4/15/30</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,679,507</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,152</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Small Business
  Administration, 6.95%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,187,220</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Tennessee Valley
  Authority,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,800</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. C, 5.88%,
  4/01/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,860,098</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,900</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. D, 4.875%,
  12/15/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,861,489</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Bonds,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,930</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.375%, 2/15/31</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,991,406</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>32,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>3,7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%, 2/15/26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>34,664,999</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Strip Principal, Zero Coupon, 11/15/21</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>876,250</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total U.S. Government
  and Agency Securities</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55,568,894</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Long-Term
  Investments (cost $414,654,362)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>405,600,326</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT; TEXT-INDENT:-8.65PT'><FONT SIZE=2>37</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH=5% VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=5% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59% VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH=3% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH=12% VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH=1% VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SHORT-TERM INVESTMENTS&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>U.S. Government and Agency Zero Coupon
Bonds&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal Home Loan
  Bank Discount Notes, 4.71%, 5/01/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>1,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><sup>3,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Bills, 4.502%, 5/04/06</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,699,365</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Short-Term
  Investments (cost $2,199,365)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,199,365</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>OUTSTANDING OPTIONS PURCHASED&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest Rate
  Swaps,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.26%, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>161,880</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.50%, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>253,650</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.26%,
  Trust receives 3-month LIBOR, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>335,160</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.50%,
  Trust receives 3-month LIBOR, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>408,690</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Outstanding Options Purchased (cost $1,270,530)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,159,380</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Total
  investments before TBA sale commitment and outstanding options written&#151;109.9%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>(cost
  $418,124,258<SUP>9</SUP>)</FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>408,959,071</FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal <BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TBA SALE COMMITMENT&#151;(7.1)%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>(27,300)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Federal National
  Mortgage Assoc. TBA, 5.50%, 5/01/36 (proceeds $26,515,125)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(26,506,607</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Contracts/<BR>
  Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>OUTSTANDING OPTIONS WRITTEN&#151;(0.7)%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest Rate
  Swaps,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,700)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.135%, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(320,055</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>(5,700)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  5.135%, Trust receives 3-month LIBOR, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(99,009</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,200)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 4.725%, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(998,118</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>(14,200)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  4.725%, Trust receives 3-month LIBOR, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(64,752</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(12,400)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.67%, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(452,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>(12,400)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.67%,
  Trust receives 3-month LIBOR, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(559,240</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(78)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Notes Future, expiring 5/26/06</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(59,109</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>(70)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Notes Future, expiring 8/25/06</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(47,578</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total outstanding
  options written (premium received $2,950,732)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,600,461</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Total
  Investments net of TBA sale commitment and outstanding options written&#151;102.1%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>379,852,003</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Liabilities in
  excess of other assets&#151;(2.1)%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(7,725,147</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Net
  Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>372,126,856</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Variable rate security. Rate
  shown is interest rate as of April 30, 2006.</FONT> </P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>Security, or a portion
  thereof, pledged as collateral with a value of $4,530,746 on 1,554 long U.S.
  Treasury Bond futures contracts expiring June 2006 to September 2006, 382
  long U.S. Treasury Note futures contracts expiring September 2006, 64 short
  Eurodollar futures contracts expiring June 2006 to September 2006 and 1,051
  short U.S. Treasury Note futures contracts expiring September 2006. The
  notional value of such contracts on April 30, 2006 was $81,183,353, with an
  unrealized gain of $490,139.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P> <FONT SIZE=1>Security is not registered
  under the Securities Act of 1933. These securities may be resold in
  transactions in accordance with Rule 144A under that Act, to qualified
  institutional buyers. As of April 30, 2006, the Trust held 6.4% of its net
  assets, with a current market value of $23,950,488, in securities restricted
  as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 >Rate shown is interest rate
  or effective yield as of April 30, 2006 of the underlying collateral.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P style="margin-top:-5px"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Issuer is in default and/or
  bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P><FONT SIZE=1>Entire or partial principal
  amount pledged as collateral for reverse repurchase agreements. See Note 4 in
  the Notes to Financial Statements for details of open reverse repurchase
  agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Rate shown is the yield to
  maturity as of April 30, 2006.</FONT> </P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>Cost for Federal income tax
  purposes is $421,002,197. The net unrealized depreciation on a tax basis is
  $12,043,126, consisting of $2,236,259 gross unrealized appreciation and
  $14,279,385 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>A category in the Corporate
Bonds section may contain multiple industries as defined by the SEC&#146;s Standard
Industry Codes.</FONT></P>
<center>
<div style="border:solid black 1px; padding:2%;width:40%" >
<P ALIGN=CENTER><FONT SIZE=1><BR><B>KEY TO ABBREVIATIONS</B></FONT></P>

<P ALIGN=CENTER style="margin-top:-3%"><FONT SIZE=1>TBA &#150; To Be Announced<BR><BR></FONT></P>
</div>
</center>
<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>38</FONT></P>

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


<P><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited) <BR>
APRIL 30, 2006 </B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM
  INVESTMENTS&#151;118.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Mortgage
  Pass-Through Securities&#151;27.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CWALT, Inc., 5.689%, 10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,807,284</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.173%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,110,814</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,046</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.96%, 10/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,018,913</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.28%, 2/01/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,631</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  10/01/16-5/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,547,578</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.55%, 11/01/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,974</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.01%, 11/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%,
  5/01/29-5/01/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%,
  10/01/06-3/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,785</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>181</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 9/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>194,114</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>26,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%,
  6/01/33-2/01/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>24,736,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  12/01/13-10/01/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,365,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,412</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%, 9/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,345,752</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.00%,
  11/01/31-8/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,407,580</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 2/01/26-5/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,226,129</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%,
  6/01/26-1/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,317,667</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%,
  2/01/22-9/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%,
  5/01/08-5/01/22 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>213,529</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.50%,
  1/01/19-9/01/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,658</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA, 6.00%,
  5/11/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,393,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Government National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 10/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>73,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>498</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%,
  8/15/21-12/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>522,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>254</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%,
  10/15/22-2/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>273,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%,
  6/15/18-9/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>38,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,854,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Federal
  Housing Administration Securities&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>508</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>GMAC Colonial, 7.40%, 12/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>507,048</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>GMAC Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>302</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 51, 7.43%,
  2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>301,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>907</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 56, 7.43%,
  11/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>906,042</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Merrill Projects, 7.43%, 5/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,998</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>822</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Reilly Project, 8.28%, 3/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>810,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>USGI Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>112</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 87, 7.43%,
  12/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>111,801</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>449</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 99, 7.43%,
  10/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>448,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 6094, 7.43%,
  6/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,784,064</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Federal Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,921,917</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Agency
  Multiple Class Mortgage Pass-Through Securities&#151;19.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,203</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 11, Class
  A9, 2.463%, 1/25/28 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,162,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>987</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 40, Class K,
  6.50%, 8/17/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,009,696</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1598, Class
  J, 6.50%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,026,579</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2542, Class
  UC, 6.00%, 12/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,168,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2758, Class
  KV, 5.50%, 5/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11,638,658</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,615</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2765, Class
  UA, 4.00%, 3/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,537,839</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, Class KP,
  Zero Coupon, 2/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,315,590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 28, Class
  PB, 6.00%, 8/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,262,102</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,647</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 29, Class
  HC, 7.50%, 7/25/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,765,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,129</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 31, Class
  ZG, 7.50%, 5/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,312,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 32, Class
  VT, 6.00%, 9/25/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,179,716</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>39</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Agency
  Multiple Class Mortgage Pass-Through Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc., (cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>101</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 38, Class F,
  8.325%, 4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>107,148</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 43, Class
  LC, 6.00%, 3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>438,794</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 135, Class
  PB, 6.00%, 1/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,134,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 256, Class
  F, 6.469%, 11/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Freddie Mac Structured Pass-Through, 5.50%, 6/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,915,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Government National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class Z,
  7.00%, 5/16/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,426,619</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 33, Class
  PB, 6.50%, 7/20/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,545,528</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 75, Class
  IJ, 5.50%, 7/20/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>491,784</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,020</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 89. Class
  PE, 6.00%, 10/20/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,069,102</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Agency Multiple Class Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>78,508,327</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM nowrap>
<P><FONT SIZE=2><B>Non-Agency
  Multiple Class Mortgage Pass-Through Securities&#151;3.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Residential Funding Securities Corp., 8.50%, 5/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,659,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>72</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Summit Mortgage Trust, 6.241%, 12/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>72,452</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Non-Agency Multiple Class Mortgage Pass-Through
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,731,618</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="2"><B>Inverse Floating Rate
Mortgage Securities&#151;1.2%</B> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1043, Class
  H, 21.938%, 2/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1160, Class
  F, 18.381%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>45,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>341</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1616, Class
  SB, 8.50%, 11/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>339,543</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1688, Class
  S, 8.794%, 12/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,086,935</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>103</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 38, Class
  SA, 10.186%, 4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>104,843</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 46, Class S,
  1,381.156%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 49, Class S,
  518.05%, 12/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,368</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>473</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 72, Class S,
  8.75%, 5/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>470,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 87, Class S,
  13.515%, 8/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195,424</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 93, Class S,
  8.50%, 5/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>202,948</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 145, Class
  S, 18.659%, 10/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>283</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 170, Class
  SC, 9.00%, 9/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>913</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 196, Class
  SC, 7.433%, 10/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>906,986</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 214, Class
  SH, 5.345%, 12/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>343,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 247, Class
  SN, 10.00%, 12/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,212,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>189</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Kidder Peabody Acceptance Corp., 7.411%, 8/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>182,681</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,200,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Interest
  Only Asset-Backed Securities&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Morgan Stanley Capital Trust I, 1.756%, 6/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1, 2.362%,
  4/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,461,176</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>33,705</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, 1.00%,
  3/30/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,359,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,852,257</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Interest
  Only Mortgage-Backed Securities&#151;8.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,831</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ABN Amro Mortgage Corp., 5.50%, 3/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>94,234</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>81,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Commercial Mortgage Acceptance Corp., 0.852%,
  11/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,328,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>22,189</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Credit Suisse First Boston Mortgage Securities Corp.,
  1.917%, 6/20/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>627,522</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>185,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CWALT, Inc., 0.42%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>666,176</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 60, Class
  HS, 1.00%, 4/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>45,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 176, Class
  M, 1,010.00%, 7/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 192, Class
  U, 1,009.033%, 2/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 200, Class
  R, 98,500.338%, 12/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>417</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,272</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 204, 6.00%,
  5/01/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>558,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1054, Class
  I, 435.32%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>366</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1056, Class
  KD, 1,084.50%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,444</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1057, Class
  J, 1,008.001%, 3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1148, Class
  E, 592.552%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1179, Class
  O, 1,009.389%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>290</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>40</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Interest
  Only Mortgage-Backed Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp., (cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1221, Class
  H, 1,006.50%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1706, Class
  IA, 7.00%, 10/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>19,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>129</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1720, Class
  PK, 7.50%, 1/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,867</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1914, Class
  PC, 0.75%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>57,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,207</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2002, Class
  HJ, 3.00%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,852</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2296, Class
  SA, 2.669%, 3/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>57,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>632</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2444, Class
  ST, 2.889%, 9/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,034</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2513, Class
  BI, 5.50%, 12/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,838</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2542, Class
  MX, 5.50%, 5/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300,495</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2543, Class
  IM, 5.00%, 9/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,349</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2545, Class
  NI, 5.50%, 3/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>492,067</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,4402</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2559, Class
  IO, 0.94%, 8/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>28,901</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,133</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2561, Class
  EW, 5.00%, 9/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>627,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,197</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2611, Class
  QI, 5.50%, 9/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,430,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,189</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2633, Class
  PI, 4.50%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>286,572</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2653, Class
  MI, 5.00%, 4/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>550,306</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2658, Class
  PI, 4.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2672, Class
  TQ, 5.00%, 3/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>355,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,477</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2676, Class
  JI, 5.50%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2687, Class
  IL, 5.00%, 9/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>535,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2687, Class
  IQ, 5.50%, 9/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>518,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2693, Class
  IB, 4.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>417,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,444</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2694, Class
  LI, 4.50%, 7/15/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>347,218</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,353</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2773, Class
  OX, 5.00%, 2/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>844,734</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2779, Class
  YS, 2.069%, 1/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>775,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,026</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2780, Class
  SM, 0.919%, 4/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>397,122</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2786, Class
  PI, 4.50%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>237,049</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,727</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2825, Class
  NI, 5.50%, 3/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,784,095</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>41,296</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2990, Class
  WR, 1.529%, 6/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,071,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>282</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 5, Class H,
  9.00%, 1/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49,366</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class 2,
  8.50%, 4/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class S,
  584.13%, 3/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class S,
  565.227%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 12, Class C,
  1,016.898%, 2/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,176</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 12, Class S,
  597.224%, 5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,447</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,088</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  IG, 5.00%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>483,096</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 16, Class
  PI, 5.00%, 11/25/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>312,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 17, Class S,
  570.485%, 6/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 33, Class
  PV, 1,078.42%, 10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,806</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 33, Class
  SG, 3.131%, 3/25/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66,017</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 38, Class N,
  1,008.50%, 4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>851</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 50, Class G,
  1,158.628%, 12/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,755</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>949</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 50, Class
  SI, 1.20%, 4/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>28,802</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 51, Class
  IE, 5.50%, 4/25/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>451,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,044</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 55, Class
  GI, 5.00%, 7/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>787,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>798</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 60, Class
  SB, 1.60%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>22,792</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 62, Class
  IC, 5.50%, 7/25/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>31,251</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,566</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 66, Class
  CI, 5.00%, 7/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,230,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,095</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 68, Class
  SC, 3.131%, 1/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150,532</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 71, Class
  EI, 5.50%, 8/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,076,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>18,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 73, Class
  ST, 1.171%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>411,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,183</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 82, Class
  IR, 5.00%, 9/25/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,927</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 84, Class H,
  1,100.633%, 8/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 88, Class
  TI, 4.50%, 11/25/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>612,569</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 89, Class 2,
  8.00%, 6/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39,822</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 90, Class
  JH, 1.741%, 11/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,753,177</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16,699</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 90, Class M,
  6.00%, 1/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,960,605</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 94, Class 2,
  9.50%, 8/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 99, Class L,
  930.00%, 8/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,977</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 122, Class
  IA, 4.00%, 9/25/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,666</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>41</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Interest
  Only Mortgage-Backed Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc., (cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 122, Class
  IC, 5.00%, 9/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>588,648</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 123, Class
  M, 1,009.50%, 10/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 136, Class
  S, 15.12%, 11/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>49,501</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 139, Class
  PT, 648.35%, 10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,624</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 141, Class
  SA, 15.125%, 8/25/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>724</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,854</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 199, Class
  SB, 2.531%, 10/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>127,189</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 602, Class
  BI, 5.50%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>799,029</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. W4, 6.50%,
  12/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>123,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>First Boston Mortgage Securities Corp., 10.965%,
  4/25/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>First Horizon Alternative Mortgage Securities,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>93,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. FA7, Class
  1A7, 0.34%, 10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>336,778</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>238,901</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. FA9, Class
  A2, 1.00%, 12/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>821,223</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Acceptance Corp., Commercial Mortgage
  Securities, Inc., 1.504%, 7/15/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>641,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,389</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Goldman Sachs Mortgage Securities Corp., 0.999%,
  2/19/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>241,167</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Government National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 39, Class
  ID, 5.00%, 5/20/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>496,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 58, Class
  IT, 5.50%, 7/20/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>357,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>23,380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 89, Classl
  SA, 0.819%, 10/16/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>523,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Kidder Peabody Acceptance Corp., 9.50%, 4/22/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,315</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Morgan Stanley Cap. Trust I, 5.00%, 5/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>323,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Small Business Administration, 1.381%, 4/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>114,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Vendee Mortgage Trust, 0.053, 5/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>265,834</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>33,439,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Principal
  Only Mortgage-Backed Securities&#151;5.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Countrywide Home Loans, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,547</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 26, 4.944%,
  8/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,072,967</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. J4, 5.142%,
  6/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>924,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. J5, 4.911%,
  7/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,352,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. J8, 4.787%,
  9/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,008,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Drexel Burnham Lambert, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. K, Class 1,
  11.50%, 9/23/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. V, Class 1,
  11.50%, 9/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>305</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 8, Class
  A10, 6.3737%, 11/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>229,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>207</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1418, Class
  M, 7.50%, 11/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190,498</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>577</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1571, Class
  G, 7.50%, 8/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>522,361</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,701</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1691, Class
  B, 7.50%, 3/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,227,746</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>274</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1739, Class
  B, 7.50%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>242,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, Class KB,
  8.00%, 1/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>305,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class J,
  10.00%, 2/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>42,494</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,182</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  PR, 6.50%, 3/25/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>893,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>154</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 51, Class E,
  8.00%, 2/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>119,766</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 70, Class A,
  7.00%, 5/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29,004</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 167, Class
  D, 8.50%, 10/25/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65,646</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 203, Class
  1, 8.00%, 2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>49,529</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 228, Class
  1, 7.00%, 5/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,155</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,271</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 249, Class
  B, 7.50%, 11/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,914,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>321</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 273, Class
  1, 7.00%, 7/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>253,155</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 328, Class
  1, 6.00%, 11/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,270,973</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 338, Class
  1, 5.50%, 6/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,158,806</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>443</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. W4, 5.985%,
  2/25/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>317,849</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>317</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MASTR Asset Securitization Trust, 5.65%, 3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>209,033</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Structured Mortgage Asset Residential Trust, 7.031%,
  4/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>17,342</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Principal Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,863,277</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>42</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Collateralized
  Mortgage Obligation Residual Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Collateralized Mortgage Obligation Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 40, Class R,
  580.50%, 4/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>518</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 42, Class R,
  6,000.00%, 10/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,689</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 19, Class R,
  9757.349%, 3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,384</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 75, Class R,
  9.50%, 1/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 75, Class
  RS, 16.26%, 1/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 173, Class
  R, 9.00%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 173, Class
  RS, 9.086%, 11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Painewebber CMO Trust, 13.80%, 9/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Collateralized Mortgage Obligation Residual
  Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Collateralized
  Mortgage Obligation Securities&#151;22.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,846</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CWALT, Inc., 5.50%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,764,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>304</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 19, Class F,
  8.50%, 3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>303,834</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>658</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1961, Class
  H, 6.50%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>662,845</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2218, Class
  Z, 8.50%, 3/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,200,103</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2461, Class
  Z, 6.50%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,614,929</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2562, Class
  PG, 5.00%, 1/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,369,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>403</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2582, Class
  TB, 3.50%, 10/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>401,088</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2750, Class
  TC, 5.25%, 2/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,937,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2806, Class
  VC, 6.00%, 12/15/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,456,431</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2927, Class
  BZ, 5.50%, 2/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,981,389</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 46, Class
  LW, 5.00%, 6/25/20 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,425,529</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 47, Class
  AK, 5.00%, 6/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,578,632</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,114</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 59, Class S,
  5.676%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>648,261</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,266</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 68, Class PC, 5.50%, 7/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,232,578</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,401</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 73, Class DS, 4.656%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,111,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>GSR Mortgage Loan Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class
  2A1, 4.475%, 10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,785,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,904</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  1A1, 4.503%, 10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,661,585</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>38,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MASTR Adjustable Rate Mortgages Trust, 0.977%,
  4/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>959,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MASTR Alternative Loan Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 7, Class
  4A3, 8.00%, 11/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,190,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 9, Class
  15X2, 6.00%, 1/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>267,003</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MASTR Asset Securitization Trust, 5.25%, 10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,508,590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>208,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Residential Accredit Loans, Inc., 0.70%, 11/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Residential Asset Securitization Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>983</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A15, Class
  1A8, Zero Coupon, 2/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>511,412</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A8, Class
  A2, 5.309%, 10/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,453,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sequoia Mortgage Trust, 0.771%, 3/20/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,129,383</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Structured Adjustable Rate Mortgage Loan Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 18, Class
  7AX, 5.50%, 9/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,170,967</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,763</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20, Class
  3AX, 5.50%, 10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,109,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Washington Mutual., Zero Coupon, 11/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>780,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Collateralized Mortgage Obligation Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>94,605,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Corporate
  Bond&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Financial
  Institutions&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Asset Receivable Trust, 1.649%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,671,903</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;26.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Overseas Private Investment Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>306</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.09%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>268,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>853</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.30%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>768,682</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>638</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.64%, 5/29/12 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>581,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>360</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.68%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>319,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.87%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,506,542</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-4PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.40%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,235,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>43</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Resolution Funding Corp., Zero Coupon, 4/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,605,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Small Business Administration,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>886</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20C-1, 7.15%,
  3/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>918,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20E-1,
  7.60%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,050,115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,384</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20F-1,
  7.55%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,439,479</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>960</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20G-1,
  7.70%, 7/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,001,259</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20H-1,
  7.25%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,299,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 20K-1, 6.95%,
  11/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,247,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,930</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>2.50%, 5/31/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,924,506</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.75%, 3/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,780,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.00%, 8/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,178,720</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>129,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Strip Principal, Zero Coupon, 11/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,037,794</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,164,314</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Total Long-Term Investments</B><FONT   SIZE=1> (cost $519,530,065)</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>487,825,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>OUTSTANDING
  OPTIONS PURCHASED&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.26%, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>161,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.50%, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>253,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.26%,
  Trust receives 3-month LIBOR, expires 3/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>335,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.50%,
  Trust receives 3-month LIBOR, expires 12/11/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>408,690</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Outstanding Options Purchased (cost $1,270,530)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,159,380</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Total
  investments before borrowed bonds, investments sold short, TBA sale
  commitments and outstanding options written&#151;118.5%</B><FONT   SIZE=1> (cost $520,800,595<SUP>8</SUP>)</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>488,984,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>BORROWED
  BONDS&#151;13.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Bonds,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,302</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.375%, 5/01/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,301,738</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>17,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.25%, 5/03/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>17,580,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.00%, 5/03/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,894,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.125%, 5/03/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11,715,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Borrowed Bonds (cost $56,491,925)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>56,491,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>INVESTMENTS
  SOLD SHORT&#151;(13.6)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;(13.6)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Bonds,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(12,930</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.375%, 2/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(13,132,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(15,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.25%, 8/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(17,413,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.00%, 2/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(13,810,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.125%, 8/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(11,643,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Investments Sold Short (proceeds $59,142,549)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(55,999,811</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>TBA SALE COMMITMENTS&#151;(5.6)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Federal National Mortgage Assoc., TBA,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(10,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%, 5/01/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,456,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%, 5/11/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(13,593,132</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total TBA Sale Commitments (proceeds $23,070,781)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(23,049,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>44</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2><B>Contracts/<BR>
  Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="9" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>OUTSTANDING OPTIONS WRITTEN&#151;(0.6)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest Rate
  Swaps,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.135%, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(320,055</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  5.135%, Trust receives 3-month LIBOR, expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(99,009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 4.725%, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(991,089</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(14,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  4.725%, Trust receives 3-month LIBOR, expires 6/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(64,296</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(12,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays
  3-month LIBOR, Trust receives 5.67%, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(452,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(12,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Trust pays 5.67%,
  Trust receives 3-month LIBOR, expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(559,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(78</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Notes Future, expiring 5/26/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(59,109</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>U.S. Treasury
  Notes Future, expiring 8/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(47,578</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total Outstanding
  Options Written (premium received $2,942,962)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,592,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Total
  Investments net of borrowed bonds, investments sold short, TBA sale
  commitments and outstanding options written&#151;112.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>463,834,739</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Liabilities in
  excess of other assets&#151;(12.4)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(51,140,226</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Net
  Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>412,694,513</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<HR SIZE=1 WIDTH="120" NOSHADE COLOR=GRAY ALIGN=LEFT>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Variable rate security. Rate
  shown is interest rate as of April 30, 2006.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Security, or a portion
  thereof, pledged as collateral with a value of $40,531,144 on 1,538 short
  Eurodollar futures contracts expiring June 2006 to December 2008, 761 short
  U.S. Treasury Bond futures contracts expiring June 2006 and 365 short U.S.
  Treasury Note futures contracts expiring September 2006. The notional value
  of such contracts on April 30, 2006 was $482,810,216, with an unrealized gain
  of $5,942,425.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Security is not registered
  under the Securities Act of 1933. These securities may be resold in
  transactions in accordance with Rule 144A under that Act, to qualified institutional
  buyers. As of April 30, 2006, the Trust held 0.2% of its net assets, with a
  current market value of $972,872, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Illiquid security. As of
  April 30, 2006, the Trust held less than 0.1% of its net assets, with a
  current market value of $1 in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Rate shown is interest rate
  or effective yield as of April 30, 2006 of the underlying collateral.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Entire or partial principal
  amount pledged as collateral for reverse repurchase agreements. See Note 4 in
  the Notes to Financial Statements for details of open reverse repurchase
  agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>Cost for Federal income tax
  purposes is $524,519,650. The net unrealized depreciation on a tax basis is
  $35,534,667, consisting of $6,490,414 gross unrealized appreciation and
  $42,025,081 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1>The interest rate and
  maturity date shown represent the terms of the borrowed transaction, not the
  security borrowed.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="40%" STYLE='BORDER:SOLID BLACK 1PX;PADDING:1%'>
<TR style="font-size:1px">
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="33%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD WIDTH="100%" COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1><BR><B>KEY TO ABBREVIATIONS</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM COLSPAN=2>
<P ALIGN=CENTER><FONT SIZE=1>TBA &#150; To Be Announced<BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>45</FONT></P>

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


<P><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited) <BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM INVESTMENTS&#151;145.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Corporate Bonds&#151;61.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Aerospace &amp; Defense&#151;3.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AAR Corp., 8.39%, 5/15/11 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,575,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Aero Invest, 10.634%, 3/22/15 (Norway)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,936,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BE Aerospace, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>615</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>655,744</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT   SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>219,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,220</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DI Finance/DynCorp. Intl., 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,499,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DRS Technologies, Inc., 7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>316,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Raytheon Co., 7.00%, 5/15/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,809,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sequa Corp., 8.875%, 4/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,590,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,755</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transdigm, Inc., 8.375%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,892,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Aerospace &amp; Defense </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>25,496,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ArvinMeritor, Inc., 8.75%, 3/01/12 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Autonation, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>690</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.04%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>702,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>690</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>693,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Avis Budget Car Rental LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>1.00%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>133,738</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>316,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,265,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>420</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dura Operating Corp., 8.625%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>357,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Corp., 8.25%, 7/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,363,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Goodyear Tire &amp; Rubber Co., 7.857%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>142,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>945</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lear Corp., 8.11%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>928,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,761,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Tenneco, Inc., 8.625%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>455,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,629</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>TRW Automotive, Inc., 9.375%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,826,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Automotive </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,222,189</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Basic Materials&#151;6.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Abitibi-Consolidated Co., 8.375%, 4/01/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>393,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,920</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,944,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BCI US Finance Corp./Borden 2 Nova Scotia Finance
  ULC, 9.099%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>357,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>670</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Bowater, Inc., 7.91%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>676,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,473,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>119,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Domtar, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 8/15/15
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>272,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>880</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 10/15/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>853,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Donohue Forest Products, 7.625%, 5/15/07 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>746,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.32%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>838,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,198,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.00%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>354,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>IMC Global, Inc., 10.875%, 6/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>323,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ineos Group Holdings PLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,490</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 2/07/16
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,811,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,885<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 2/15/16
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,729,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,703,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Baa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ipsco, Inc., 8.75%, 6/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,412,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lyondell Chemical Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>560</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>627,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,020</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.125%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,352,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. A, 9.625%,
  5/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>774,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nalco Co., 8.875%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>221,988</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>46</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>NewPage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.399%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,635,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>348,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,090</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nova Chemicals Corp., 7.561%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,103,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rhodia SA,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>921</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 6/01/11
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>955,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 6/01/10
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rockwood Specialties Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>448,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.625%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,954,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>US Steel LLC, 10.75%, 8/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,550,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>44,273,041</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Building &amp; Development&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ahern Rentals, Inc., 9.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>364,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7504</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compression Polymers Corp., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>768,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DR Horton, Inc., 5.875%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,866,521</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ERICO Intl. Corp., 8.875%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,744,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodman Global Holding Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.491%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>382,031</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,007,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>North American Energy Partners, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 12/01/11
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>146,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 6/01/10
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>583,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Building &amp; Development </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,864,252</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Conglomerates&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Tyco Intl. Group SA, 6.125%, 11/01/08 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,577,843</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Consumer Products&#151;6.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ALH Finance LLC, 8.50%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>294,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Cenveo Corp., 9.625%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,895,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,610</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Duane Reade, Inc., 7.91%, 12/15/10 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,612,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,333</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Finlay Fine Jewelry Corp., 8.375%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,169,708</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Gold Kist, Inc., 10.25%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,257,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Group 1 Automotive, Inc., 8.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>JC Penney Co., Inc., 8.00%, 3/01/10 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,744,246</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Knowledge Learning Corp., Inc., 7.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,202,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lazydays RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,551,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Levi Strauss &amp; Co., 7.73%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,163,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Movie Gallery, Inc., 11.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>918,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>223</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Neiman-Marcus Group, Inc., 9.00%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>236,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nutro Products, Inc., 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>214,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>579,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rite Aid Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>635</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.125%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>623,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.125%, 5/01/10 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,131,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sheridan Group, Inc., 10.25%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,575,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sonic Automotive, Inc., 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,605,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Consumer Products </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>41,875,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Containers &amp; Packaging&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Covalence Specialty Materials Corp., 10.25%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>905,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crown Americas LLC and Crown Americas Capital Corp.,
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,416,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>585</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>598,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Packaging Dynamics Finance Corp., 10.00%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>255,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,751,412</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Smurfit-Stone Container Enterprises, Inc., 9.75%,
  2/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,541,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,467,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Ecological Services &amp;
  Equipment&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Casella Waste Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,127,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,142,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,269,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>47</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;6.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AES Corp., 8.75%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,940,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ANR Pipeline Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>472,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 11/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,133,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Aquila Finance Corp., 7.75%, 6/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,076,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>810</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>834,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>98,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,155,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,095</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Clayton Williams Energy, Inc., 7.75%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,032,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CMS Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>154,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>235,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>148,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compagnie Generale de Geophysique SA, 7.50%, 5/15/15
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>774,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>520,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>790</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>783,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dynegy Danskammer LLC, 7.27%, 11/08/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>816,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>El Paso Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.80%, 8/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>398,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>525</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>580,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.75%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>251,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>El Paso Natural Gas Co., 8.875%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>443,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>237,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>217,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Grant Prideco, Inc., 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>364,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hilcorp Energy I LP/Hilcorp Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>930</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>916,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,434</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 9/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,653,060</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>730,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Midwest Generation LLC, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,089,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Mirant Americas Generation LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>483,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 5/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>955,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Mission Energy Holdings Co., 13.50%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>568,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>211,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,193,887</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ocean Rig AS, 8.375%, 7/01/13 (Norway)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>473,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>580</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>659,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Reliant Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>941,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>172,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Swift Energy Co., 9.375%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,337,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>735,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>102,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Verasun Energy Corp., 9.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>532,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Whiting Petroleum Corp., 7.00%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>188,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Williams Cos., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,025,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,477,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>47,295,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Entertainment &amp; Leisure&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>540,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,580</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Greektown Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,655,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MGM Mirage, 9.75%, 6/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,628,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Poster Financial Group, Inc., 8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>263,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>48</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Entertainment &amp; Leisure&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>San Pasqual Casino, 8.00%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>464,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
  6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>97,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,649,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial Institutions&#151;6.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>American Real Estate Partners LP/American Real Estate
  Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,472,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,733</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BCP Crystal US Holdings Corp., 9.625%, 6/15/14
  (Luxembourg) </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,906,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,494,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>E*Trade Financial Corp., 7.375%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>473,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Fairfax Financial Holdings Ltd., 7.75%, 4/26/12
  (Canada) </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>845,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ford Motor Credit Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 10/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>448,222</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,538,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Motors Acceptance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.97%, 1/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,954,179</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,199,067</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>K&amp;F Acquisition, Inc., 7.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>920,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Baa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Kazkommerts Intl. BV, 10.125%, 5/08/07 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,187,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Marsh &amp; McLennan Cos., Inc., 7/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>199,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,435,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>987,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.375%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,427,287</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Standard Aero Holdings, Inc., 8.25%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,924,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,614</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Asset Receivable Trust, 5.11%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,613,922</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Universal City Florida Holding Co. I/II, 7.96%,
  5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>228,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Western Financial Bank, 9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,911,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,167,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health Care&#151;2.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,984,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Concentra Operating Corp., 9.50%, 8/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,262,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Curative Health Services, Inc., 10.75%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MedQuest, Inc., 11.875%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>292,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Norcross Safety Products LLC/Norcross Capital Corp.,
  9.875%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,142,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>965</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Select Medical Corp., 7.625%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>880,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Tenet Healthcare Corp., 6.875%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,118,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Surgical Partners Intl., Inc., 10.00%,
  12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,792,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Universal Hospital Services, Inc., 10.125%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,957,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,481,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Industrials&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fasten Tech, Inc., 11.50%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,080,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>NationsRent Cos., Inc., 9.50%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,035,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,955</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,847,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,374,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Trimas Corp., 9.875%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,337,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>United Rentals NA, Inc., 7.00%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,925,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,599,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Media&#151;8.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.125%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,447,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>871,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Allbritton Communications Co., 7.75%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>743,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Media Operations, Inc., 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,226,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Cablevision Systems Corp., 8.716%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>848,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CBD Media Inc., 8.625%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,556,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Charter Communications Holdings II, LLC/Charter
  Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>755</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>764,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>865</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>868,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>49</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,685</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Comcast Cable Communications, Inc., 6.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,926,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CSC Holdings, Inc., 7.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,120,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dex Media West LLC/Dex Media Finance Co., 9.875%,
  8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,430,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Echostar DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.75%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,758,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.81%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,202,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Houghton Mifflin Co., 9.875%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,362,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>820</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Medianews Group, Inc., 6.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>746,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>810</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Network Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>832,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,316,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Paxson Communications Corp., 8.32%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,052,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Primedia, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>365,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.165%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,230,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>970</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quebecor World, Inc., 8.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>940,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>RH Donnelley Corp., 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,115,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Salem Communications Corp., 7.75%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,040,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sinclair Broadcast Group, Inc., 4.875%, 7/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>405,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>530</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sirius Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>518,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Unity Media GmbH, 10.375%, 2/15/15 (Germany)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>297,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vertis, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,437,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>865</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>830,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,009,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>59,457,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Real Estate&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,860</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Real Estate Partners, 8.125%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,050,450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rouse Co., 5.375%, 11/26/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,850,536</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,900,986</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Technology&#151;3.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Amkor Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,864,995</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 2/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,160,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,965,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Flextronics Intl. Ltd., 6.50%, 5/15/13 (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,991,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>430</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South
  Korea)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>474,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MagnaChip Semiconductor SA/MagnaChip Semiconductor
  Finance Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>810</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.741%, 12/15/11
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>814,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>125,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sensata Technologies BV, 8.00%, 5/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>898,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SS&amp;C Technologies, Inc., 11.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>971,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>STATS ChipPAC Ltd., 7.50%, 7/19/10 (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>202,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sungard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,735</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.525%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,847,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>665</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>711,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,430</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,600,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,615</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Superior Essex Communications LLC/Essex Group, Inc.,
  9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,642,112</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,530</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>UGS Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,675,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,946,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Telecommunications&#151;5.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>386</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Centennial Cellular Operating Co., Zero Coupon,
  2/09/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>391,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,448,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Deutsche Telekom Intl. Finance BV, 8.00%, 6/15/10
  (Netherlands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,421,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>860</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hawaiian Telcom Communications, Inc., 5/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>885,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Intelsat Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.25%, 1/15/13
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>469,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.625%, 1/15/15
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,530,638</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.614%, 1/15/12
  (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,401,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>50</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lucent Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.45%, 3/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>92,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.50%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,360,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,004,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nortel Networks Corp., 6.875%, 9/01/23 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>186,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,517</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PanAmSat Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,701,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Qwest Communications Intl., Inc., 6.768%, 2/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,090,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.741%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,725,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,047,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,033,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>460</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>474,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rural Cellular Corp., 8.991%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>382,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wind Acquisition Finance SA, 10.75%, 12/01/15
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,646,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>38,293,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Transportation&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>520</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>American Airlines, Inc., 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>504,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,745,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hertz Corp., 8.875%, 1/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>696,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>111</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Horizon Lines LLC, 9.00%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>115,579</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>OMI Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Overseas Shipholding Group, Inc., 8.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,802,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,059,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>427,897,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Bank Loans&#151;51.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Aerospace &amp; Defense&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>980</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Arinc, Inc., Loan B, LIBOR + 2.00%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>981,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>895</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Camp Acquisition Co., Loan A, LIBOR + 3.25%, 8/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>897,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,980</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dyncorp International LLC, Loan B, LIBOR + 2.75%,
  1/31/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,003,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transdigm, Inc., LIBOR + 2.25%, 4/12/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,475,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,356,872</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Automotive&#151;1.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dana Corp., LIBOR, 4/12/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>503,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,224</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dayco Products, LLC, Loan B, LIBOR + 3.00%, 6/30/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,236,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Goodyear Tire &amp; Rubber Co. (The),</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.75%,
  4/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>506,667</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 3.50%,
  4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,027,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>748</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>IAP Worldwide Services, Inc., LIBOR + 3.00%, 12/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>755,606</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lear Corp., LIBOR + 2.50%, 3/23/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,003,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>926</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Metaldyne Co. LLC, Loan D, LIBOR + 4.50%, 12/31/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>942,196</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>498</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Precision Parts Intl., Loan B, LIBOR + 3.75%,
  10/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>498,744</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>517</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Tenneco Automotive, Inc., Loan B1, LIBOR + 2.25%,
  12/12/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>523,254</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>TRW Automotive Acquisitions Corp., Loan B, LIBOR +
  1.50%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,472,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,470,327</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Basic Materials&#151;4.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Basell NV,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B2, LIBOR +
  2.50%, 9/30/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>507,083</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan C2, LIBOR +
  3.00%, 9/30/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>507,083</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>993</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Berry Plastics Corp., LIBOR + 2.00%, 7/22/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000,358</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>877</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Boise Cascade Corp., Loan D, LIBOR + 1.75%, 10/31/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>887,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,190</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Celanese, AG, LIBOR + 2.00%, 6/03/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,221,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cognis Deutschland, LIBOR + 4.75%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,052,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>969</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compass Minerals Group, Inc., LIBOR + 1.50%, 12/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>974,451</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Huntsman Intl. LLC, Loan B, LIBOR + 1.75%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,261,039</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ineos Group Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan A4, LIBOR + 2.25%,
  12/16/12-12/16/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,281,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan A4, LIBOR +
  2.75%, 12/16/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,774,339</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>51</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Invista B.V.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,359</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B1, LIBOR +
  1.75%, 4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,370,054</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>691</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B2, LIBOR +
  1.75%, 4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>694,140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ISP Chemco, Inc., LIBOR + 1.75%, 2/28/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,015,626</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>John Maneely Co., Loan B, LIBOR + 3.00%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>609,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,474</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nalco Co., Loan B, LIBOR + 1.75%, 11/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,500,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>PQ Corp., LIBOR + 2.00%, 2/28/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>501,394</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rockwood Specialties Group, Inc., Loan E, LIBOR +
  2.00%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,001,602</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>SP Newsprint,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>601</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.25%,
  1/08/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>608,203</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,611</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.25%, 1/09/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,631,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>UPC Technology Corp., LIBOR + 2.00%, 12/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,030,416</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>33,430,018</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Building &amp; Development&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>239</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Atrium Companies, Inc., LIBOR + 3.25%, 12/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>239,620</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Custom Building Products, Inc., LIBOR + 5.00%,
  4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,503,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Euramax International, Inc., LIBOR + 7.00%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>248,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Harmon Koval, 3.25%, 12/31/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,253,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>479</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Maxim Crane Works LP, LIBOR + 2.00%, 1/28/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>484,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nacco Industries, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.00%,
  3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>504,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.00%,
  4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>492</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Nortek, Inc., Loan B, LIBOR + 2.00%, 8/24/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495,842</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ply Gem Industries, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>94</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CND, LIBOR +
  2.25%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>94,570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>USD, LIBOR +
  2.25%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,418,555</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rhodes Ranch, LIBOR + 3.25%, 11/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>954,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Subcontractors, Inc., LIBOR + 3.00%, 12/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,995,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Building &amp; Development </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,693,145</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Conglomerates&#151;3.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>AGY Holding Corp., LIBOR + 2.75%, 4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>503,438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Atlantis Plastics, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 7.25%,
  9/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,004,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>PRIME + 0.75%,
  9/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>501,806</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,080</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Blount Intl., Loan B, LIBOR + 1.75%, 8/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,087,807</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Colfax Corp., Loan B, LIBOR + 2.00%, 11/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000,165</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,107</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Fidelity National Information Solutions, Inc., Loan
  B, LIBOR + 1.75%, 3/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,124,431</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Gentek, Inc., 0.50%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>502,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,474</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Honeywell Security, Loan B, LIBOR + 3.25%, 6/28/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,482,985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Invensys Intl. Holdings Ltd.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,693</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>0.50%,
  3/05/09-11/30/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,764,841</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,113</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B1, LIBOR +
  3.50%, 8/30/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,124,335</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Jarden Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>991</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B2, PRIME +
  0.75%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000,218</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,192</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>PRIME + 1.00%,
  1/24/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,199,129</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mueller Group, Inc., Loan B, LIBOR + 2.25%, 9/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,007,438</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>367</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Penn Engineering &amp; Manufacturing, LIBOR + 2.50%,
  4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>370,295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,345</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sensus Metering Systems, Inc., Loan B1, LIBOR +
  2.50%, 12/30/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,353,023</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>872</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>St. John Knits International, Inc., Loan B, LIBOR +
  2.50%, 3/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>880,266</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,481</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sungard Data Systems, Inc., Loan B, LIBOR + 2.50%,
  1/05/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,508,943</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Conglomerates</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>24,416,570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Consumer Products&#151;9.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Aearo Technologies, Inc., LIBOR + 6.50%, 9/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,020,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>24 Hour Fitness Worldwide, Inc., Loan B, LIBOR +
  3.00%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,011,667</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Adams Outdoor Advertising LP, LIBOR + 2.00%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>470,770</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Alimentation Couche-Tard, Inc., LIBOR + 1.75%,
  12/31/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,060,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>496</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Arby&#146;s Restaurant Group, Inc., Loan B, LIBOR + 2.25%,
  7/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>501,419</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Berkline Bench Craft,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 10.0%,
  4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  3.75%, 10/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>885,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>52</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Consumer Products&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Buffets, Inc., LIBOR + 0.10%, 6/28/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>502,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Burger King Corp., Loan B1, LIBOR + 1.50%, 2/28/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,001,395</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Burlington Coat Factory Warehouse Corp., Loan B,
  LIBOR, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,494,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Centerplate, Inc., PRIME + 1.25%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>499,962</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Central Garden &amp; Pet Co., Loan B, LIBOR + 1.50%,
  9/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,507,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chiquita Brands Intl., Inc., Loan C, LIBOR + 2.00%,
  7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,592</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>856</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>CKE Restaurants, Inc., LIBOR + 2.00%, 5/17/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>863,994</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>999</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Coinmach Corp., Loan B1, LIBOR + 2.50%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,014,393</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,731</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Commonwealth Brands, Inc., LIBOR + 2.25%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,751,381</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Denny&#146;s Corp., LIBOR + 5.13%, 9/25/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,030,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>494</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Douglas Dynamics, LLC, LIBOR + 1.75%, 12/16/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>498,696</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,901</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dr. Pepper Bottling Co. of Texas, Inc., Loan B, LIBOR
  + 2.00%, 12/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,915,526</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Dunkin Brands, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>858</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 4.25%,
  3/01/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>855,992</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,157</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.63%,
  3/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,151,546</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>878</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Eastman Kodak Co., Loan B2, 1.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>887,001</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Easton Bell Sports, Inc., Loan B, LIBOR + 1.75%,
  3/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,010,417</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,481</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Eight O&#146;Clock Coffee, Loan B, LIBOR + 3.00%, 12/15/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,492,359</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>648</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Hertz Corp., LIBOR + 2.25%, 12/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>654,422</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>792</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Keystone Foods Holdings LLC, LIBOR + 1.75%, 6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>800,639</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Knoll, Inc., LIBOR + 1.75%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>442,832</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>867</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Language Line, Inc., Loan B, LIBOR + 4.25%, 6/14/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>868,832</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,645</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Le-Natures, Inc., Loan B, LIBOR + 3.00%, 5/30/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,665,562</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,311</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Maidenform, Inc., LIBOR + 1.75%, 5/14/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,317,716</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>MD Beauty, Inc., LIBOR + 7.00%, 7/10/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>502,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,738</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Michael Foods, Inc., Loan B1, LIBOR + 2.00%, 11/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,766,779</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>646</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Movie Gallery, Inc., Loan B, LIBOR + 5.25%, 4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>594,652</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,661</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Neiman-Marcus Group, Inc., LIBOR + 2.50%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,682,901</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,712</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>New Page, Loan B, LIBOR + 3.00%, 4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,714,281</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nice Pak Products, LIBOR + 3.75%, 6/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>926,156</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Olympus Cable Holdings LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan A, PRIME +
  1.25%, 6/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,944,376</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, PRIME +
  2.00%, 9/30/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,421,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Orchard Supply Hardware Stores Corp., Loan B2, LIBOR
  + 2.50%, 12/09/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Oriental Trading Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 4.75%,
  1/08/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>502,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,559</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.25%, 6/30/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,571,624</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,955</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>OSI Group LLC, Loan B, LIBOR + 2.00%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,985,782</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>748</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Pantry, Inc., LIBOR + 1.75%, 12/29/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>755,139</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>948</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PBM Products LLC, Loan B, LIBOR + 3.00%, 7/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>956,576</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>713</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Pierre Foods, Inc., Loan B, LIBOR + 2.00%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>720,467</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Pivotal Promontory LLC, LIBOR + 6.50%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>749,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Prestige Brands Holdings, Inc., Loan B, LIBOR +
  2.25%, 4/07/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,486,538</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>478</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Propex Fabric, Inc., Loan B, LIBOR + 2.25%, 8/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>480,274</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,452</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>R.H. Donnelley, Inc., Loan D2, LIBOR + 1.50%,
  12/31/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,464,483</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>398</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sealy Mattress Co., Loan D, LIBOR + 1.75%, 8/06/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>402,586</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>603</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Synventive Acquisition, Inc., LIBOR + 14.00%, 2/17/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>584,942</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>499</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Travelcenters of America, Inc., Loan B, LIBOR +
  1.75%, 6/30/11-11/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>503,364</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>948</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Tupperware Corp., LIBOR + 1.50%, 11/07/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>948,387</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Warnaco, Inc., Loan B, LIBOR + 1.50%, 1/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Waterpik Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>PRIME + 5.50%,
  10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>761,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>PRIME + 1.25%,
  4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>502,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>66,356,858</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Containers &amp; Packaging&#151;2.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>735</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bway Corp., LIBOR + 2.00%, 6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>742,702</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Covalence Specialty Materials Corp., LIBOR + 3.25%,
  8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>203,813</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>344</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Flexsol Packaging Corp., LIBOR + 3.25%, 11/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>344,146</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,494</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Georgia-Pacific Corp., LIBOR + 3.00%, 2/28/13-2/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,527,567</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>53</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Containers &amp; Packaging&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Graham Packaging Co. LP,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.25%, 10/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,995,984</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,429</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan C, LIBOR +
  4.25%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,459,524</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,324</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Graphic Packaging Intl., Inc., Loan C, LIBOR + 2.50%,
  8/08/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,343,096</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Owens-Illinois Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan A1, LIBOR +
  2.75%, 6/30/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,172,666</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>589</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan C1, LIBOR +
  1.75%, 3/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>590,219</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>499</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ranpak Corp., Loan B, LIBOR + 2.50%, 12/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>503,114</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>568</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Smurfit-Stone Container Corp., 0.50%, 11/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>574,741</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,960</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Solo Cup, Inc., LIBOR + 2.50%, 2/27/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,978,783</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16,436,355</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Ecological Services &amp;
  Equipment&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Envirosolutions, Inc., LIBOR + 3.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>505,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;3.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>429</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>AES Corp., LIBOR + 1.75%, 4/30/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>431,786</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>746</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Boart Longyear Co., LIBOR + 3.00%, 11/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>755,578</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>993</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Cellnet Technology, Inc., Loan B, LIBOR + 3.00%,
  4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,006,147</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,493</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Coffeyville Resources LLC, LIBOR + 2.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,512,866</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>365</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Cogentrix Delaware Holdings, Inc., LIBOR + 1.75%,
  4/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>368,589</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>249</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Complete Production Services, Inc., Loan B, PRIME +
  1.50%, 8/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>251,626</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>923</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>El Paso Corp., 0.50%, 11/30/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>932,622</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Key Energy Services, Inc., Loan B, LIBOR + 3.25%,
  8/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,513,707</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>LSP General Finance Company LLC, LIBOR, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,006,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MEG Energy Corp., Loan B, LIBOR, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>505,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>MGG Holdings, LIBOR + 2.00%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>343,891</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NRG Energy, LIBOR + 2.00%, 1/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,064,261</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Petro Geological Services, Loan B, LIBOR + 2.50%,
  12/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,006,851</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>389</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Petrohawk, LIBOR + 4.50%, 7/31/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>393,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>274</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Pike Electric, Inc., Loan B, LIBOR + 1.50%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,760</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Plum Point Energy Associates, Loan B, LIBOR + 3.25%,
  3/14/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,008,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Reliant Energy, Inc., LIBOR + 2.38%, 4/30/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,987,082</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SemCrude LP,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>693</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CND, LIBOR +
  2.25%, 2/28/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>693,866</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>293</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>USD, LIBOR +
  2.25%, 2/28/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>293,351</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Trinidad Energy Services Income Trust, PRIME + 2.50%,
  4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,503,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal Compression, Inc., LIBOR + 1.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>998,357</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>994</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Wolf Hollow I LP, LIBOR + 2.25%, 6/15/12-6/22/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,002,538</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,857,628</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Entertainment &amp; Leisure&#151;2.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>983</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Boyd Gaming Corp., Loan B, LIBOR + 1.50%, 5/14/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>991,711</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,237</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>CCM Merger, Inc., Loan B, LIBOR + 2.00%, 7/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,255,460</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Century Theatres, Inc., LIBOR + 1.88%, 3/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Greektown Casino LLC, Loan B, LIBOR + 2.50%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,030,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>490</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Green Valley Ranch Gaming LLC, Loan B, LIBOR + 2.00%,
  12/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>494,335</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>498</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Hit Entertainment Ltd., LIBOR + 2.25%, 8/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500,485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,234</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Isle of Capri Casinos, Inc., LIBOR + 1.75%, 1/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,248,879</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Metro-Goldwyn-Mayer Studios, Inc., Loan B, LIBOR +
  2.25%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,051,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Penn National Gaming, Inc., Loan B, LIBOR + 1.75%,
  5/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,013,631</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,099</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Wyndham Intl., Inc., Loan E, LIBOR + 4.50%, 9/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,099,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wynn Las Vegas LLC, 1.00%, 12/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,009,167</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Yellowstone Mountain Club,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBD</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,272</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>478</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.38%,
  10/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>478,197</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,187,362</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>54</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial Institutions&#151;4.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Advantage Sales &amp; Marketing, Inc., LIBOR + 2.00%,
  4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,007,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ameritrade, Loan B, LIBOR + 1.50%, 1/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>752,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Arias Acquisitions, Inc., LIBOR + 3.75%, 7/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,014,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CCC Information Services Group, Inc., Loan B, LIBOR +
  2.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>506,041</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Century Corp., PRIME + 2.00%, 12/31/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,900,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,280</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Global Cash Access LLC, LIBOR + 1.75%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,293,221</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>994</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Jostens, Inc., Loan C, LIBOR + 2.00%, 10/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,005,167</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>N.E.W. Holdings I LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>843</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 3.00%,
  7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>851,454</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 7.00%,
  7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>253,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Navistar Financial Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,264</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.00%,
  2/28/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,272,491</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,236</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.00%,
  2/28/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,248,633</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NTL, Inc., Loan A, LIBOR, 3/23/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,247</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Professional Service, Inc., Loan B, LIBOR + 3.00%,
  10/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,253,109</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Roller Bearing Co. of America,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,667</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>259</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.75%, 7/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>259,167</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rouse Co., LIBOR + 1.30%, 8/21/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Targa Resources, Inc., LIBOR + 2.25%, 10/31/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000,417</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>TPG Springs,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBD, 3/22/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,816,985</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan C, TBD,
  3/22/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,826,103</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal American Financial Corp., LIBOR + 2.25%,
  5/25/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>451,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>910</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>USI Holdings Corp., Loan B, LIBOR + 2.30%, 7/30/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>917,629</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,631,984</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2><B>Health Care&#151;4.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CCS Medical, Loan B, LIBOR + 3.25%, 10/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,981,284</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,955</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Community Health Systems, Inc., LIBOR + 1.75%,
  8/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,981,471</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,337</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Concentra Operating Corp., Loan B, LIBOR + 2.00%,
  9/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,360,282</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,883</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Davita, Inc., Loan B, LIBOR + 2.00%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,901,478</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DJ Orthopedics, Inc., LIBOR + 1.50%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,505,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>796</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Duloxetine Royalty Sub., LIBOR + 4.50%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>804,287</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Eye Care Centers of America, Inc., LIBOR + 3.00%,
  2/28/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>999,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Global Healthcare Exchange LLC, Loan B, PRIME +
  0.25%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>501,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>HealthSouth Corp., Loan B, LIBOR + 3.25%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,021,428</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>983</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>IASIS Healthcare Corp., Loan B, LIBOR + 2.25%,
  6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>994,577</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,898</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Jean Coutu Group, Inc., Loan B, LIBOR + 2.50%,
  6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,922,578</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>647</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Kinetic Concepts, Inc., Loan B2, LIBOR + 1.75%,
  8/05/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>653,943</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Multiplan, Inc., LIBOR + 2.00%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010,833</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>National Renal Institutes, Inc., Loan B, PRIME +
  1.25%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,008,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quintiles Transnational Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.00%,
  3/31/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>254,141</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 4.00%,
  3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,006,563</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Radnet Management, Inc., Loan B, LIBOR + 4.00%,
  3/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>498,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Select Medical Corp., Loan B, LIBOR + 1.75%, 2/28/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>980,787</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Triumph Healthcare, Inc., LIBOR + 8.50%, 9/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>470,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vanguard Health Holding Co. II, LIBOR + 2.25%,
  9/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,006,822</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Warner Chilcott Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.75%,
  1/18/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>532,997</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,162</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.75%, 1/18/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,174,157</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>871</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan C, LIBOR +
  2.75%, 1/18/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>876,079</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>402</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan D, LIBOR +
  2.75%, 1/18/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>404,724</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>983</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wellcare Holdings, LLC, LIBOR + 2.50%, 5/13/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>986,799</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,839,505</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>55</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Industrials&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Acosta, Inc., LIBOR + 2.25%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,007,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>213</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Alderwoods Group, Inc., Loan B2, LIBOR + 2.00%,
  9/29/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>214,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Bolthouse Farms, Inc., LIBOR + 2.50%, 12/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,012,463</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,182</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Buhrmann U.S., Inc., Loan D1, LIBOR + 1.75%, 12/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,215,881</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Drummond Co., Inc., LIBOR + 1.25%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,998,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>658</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Novelis, Inc., Loan B, LIBOR + 1.75%, 12/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>664,167</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>QTC Acquisition, Inc., LIBOR + 6.50%, 5/04/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>624,219</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,748</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Trimas Corp., Loan B, LIBOR + 3.75%, 12/31/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,772,503</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,049</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>United Rentals NA, Inc., LIBOR + 2.00%, 2/12/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,059,279</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>323</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Worldspan LP, LIBOR + 2.75%, 6/30/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>324,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,893,110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;4.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,719</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>American Lawyers Media, Inc., 0.75%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,725,706</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bresnan Communications Group LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,841</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>998</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.00%,
  10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010,659</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Cablevision Systems Corp., LIBOR, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,016,456</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,434</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Charter Communications Operating LLC, Loan B, LIBOR +
  3.25%, 4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,439,027</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Dex Media West LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>874</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B1, LIBOR +
  1.50%, 9/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>876,516</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,476</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B2, LIBOR +
  1.50%, 9/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,488,671</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,333</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DirecTV Holdings LLC, Loan B, LIBOR + 1.50%, 3/06/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,350,833</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,294</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Emmis Communications Co., Loan B, PRIME + 0.75%,
  5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,300,777</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,568</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Insight Midwest Holdings LLC, Loan C, LIBOR + 2.00%,
  12/31/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,595,011</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Liberty Cablevision of Puerto Rico Ltd., LIBOR +
  2.25%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>503,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,980</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mediacom Communications Corp., Loan C, LIBOR + 2.00%,
  9/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,987,116</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Mediacom Illinois LLC, Loan B, LIBOR + 1.75%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,983,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,936</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mission Broadcasting, Inc., Loan B, LIBOR + 1.75%,
  8/14/12 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,942,639</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>NEP Supershooters LP, LIBOR + 8.00%, 8/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,926</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nexstar Broadcasting, Inc., Loan B, LIBOR + 1.75%,
  8/14/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,932,289</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Puerto Rico Cable Acquisition Co., LIBOR + 6.25%,
  7/31/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>758,438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>998</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Triple Crown Media, Inc., LIBOR + 3.25%, 12/30/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>995,006</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Wide Open West Finance LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,957</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>WMG Acquisition Corp., LIBOR + 2.00%, 4/08/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,974,796</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>33,877,556</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Publishing&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>748</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Endurance Business Media, Loan B, LIBOR + 2.25%,
  3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750,930</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Real Estate&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Kyle Acquisition Group LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.00%,
  7/31/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>302,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>431</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  2.00%, 7/31/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>435,122</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Landsource Communities Development LLC, Loan B, LIBOR
  + 2.50%, 3/31/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,003,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Masonite Intl. Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>247</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>CND, LIBOR +
  2.00%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>245,316</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>248</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>USD, LIBOR +
  2.00%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>245,733</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>606</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Stewart Enterprises, Inc., Loan B, LIBOR + 1.75%,
  11/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>610,526</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Trizec Properties LLC, LIBOR + 1.40%, 4/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,248,594</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Williams Scotsman, Inc., Loan B, LIBOR + 2.25%,
  6/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,006,667</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,098,333</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Technology&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Affiliated Computer Services, Inc., Loan B, LIBOR +
  2.00%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>755,860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>377</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Coinstar, Inc., LIBOR + 2.25%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>381,404</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Federal IT Systems, Inc., LIBOR + 2.75%, 4/30/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>499,022</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nuance Communications, Inc., LIBOR + 2.00%, 12/29/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,006,667</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Sensata Technologies BV, LIBOR + 1.75%, 4/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,513,282</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,434</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Verifone, Inc., Loan B, LIBOR + 1.75%, 6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,441,081</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>216</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Westcom Corp., Loan B, LIBOR + 2.75%, 12/31/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>216,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,813,347</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>56</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;3.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Alaska Communications Systems Holdings, Inc., LIBOR +
  1.75%, 1/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,008,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Atlantic Broadband Finance LLC, Loan B1, LIBOR +
  2.75%, 1/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,014,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Cavalier Telecom, Loan B, LIBOR + 4.50%, 3/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>662,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>991</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Centennial Cellular Operating Co., LIBOR + 2.25%,
  2/09/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,003,945</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Communication Supply Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 0.75%,
  2/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>404</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.75%,
  2/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>404,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Consolidated Communications, Inc., Loan D, LIBOR +
  1.75%, 4/07/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,494,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Country Road Communications LLC, LIBOR, 6/30/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>506,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fairpoint Communications, Inc., LIBOR + 1.75%,
  2/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>754,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>988</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Intelsat Zeus Ltd., 0.75%, 7/31/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>994,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Iowa Telecommunications Services, Inc., Loan B, LIBOR
  + 1.75%, 11/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,017,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>IPC Acquisition Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>959</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.75%,
  8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>972,056</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 7.25%,
  8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>507,916</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Madison River Capital LLC, Loan B1, LIBOR + 2.25%,
  7/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,273</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nextel Partners Operating Corp., Loan D, LIBOR +
  1.50%, 5/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,273,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ntelos, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,493</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 2.50%,
  2/24/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,512,649</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>748</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 5.00%,
  2/24/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>760,984</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Qwest Corp., Loan A, LIBOR + 4.75%, 6/30/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,044,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,933</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Valor Telecommunication Enterprises II LLC, Loan B,
  LIBOR + 1.75%, 2/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,935,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Wind Acquisition Finance SA, TBD, 6/17/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,259,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>22,233,449</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Transportation&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Delta Air Lines, Inc., Loan A, LIBOR + 2.75%, 4/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>888,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>721</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sirva Worldwide, Inc., LIBOR + 4.50%, 11/30/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>718,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>606</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transport Industries LP, Loan B, LIBOR + 2.50%,
  9/30/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>614,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>UAL Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>LIBOR + 3.75%,
  6/30/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>126,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan B, LIBOR +
  3.75%, 1/31/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>887,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,235,646</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Bank Loans</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>358,084,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Mortgage Pass-Through
  Securities&#151;20.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%,
  6/01/20-7/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>37,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>896</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%, 8/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>873,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>494</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%,
  12/01/28-10/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>481,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,773</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.50%, 11/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,519,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>17,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 1/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,122,928</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>120,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA, 5.00%,
  5/16/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>117,493,967</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>146,527,632</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Interest Only Asset-Backed
  Securities&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 1, 2.362%,
  4/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,428,067</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>54,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 2, 1.00%,
  3/30/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,800,841</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,228,908</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Asset-Backed Securities&#151;1.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,379</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Honda Auto Receivables Class A3, 2.30%, 10/18/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,362,514</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MBNA Credit Card Master Note Trust, 5.75%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,912,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,274,763</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Collateralized Mortgage
  Obligations&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>GSR Mortgage Loan Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 10, Class
  2A1, 4.506%, 10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,835,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Ser. 13, Class
  1A1, 4.531%, 10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,805,234</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Collateralized Mortgage Obligations</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,641,171</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>57</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock
Limited Duration Income Trust (BLW) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>U.S. Government and Agency
  Securities&#151;5.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.375%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,643,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.75%, 3/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,895,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>3.875%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,832,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>4.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,707,234</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>37,078,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Foreign Government Bonds&#151;2.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>952</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bolivarian Republic of Venezuela, 4.563%, 12/18/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>952,319</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Republic of Colombia, 9.75%, 4/23/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,505,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Republic of Peru, 9.125%, 2/21/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,555,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Republic of Turkey, 11.375%, 11/27/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,162,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>17,174,819</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Units<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Warrants&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>7,8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Reliant Resources, Inc., Expires 8/25/08, strike
  price $0.001, 1 share for 1 warrant</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>62,769</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Long-Term Investments (cost $1,013,480,006)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,017,970,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>SHORT-TERM INVESTMENTS&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Commercial Paper&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,760</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-4px"><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ford Motor Credit Co., 4.84%, 5/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,760,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-4px"><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Motors Acceptance Corp., 4.84%, 5/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,620,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Short-Term Investments <FONT   SIZE=1>(cost $6,380,000)</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,380,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-3px"><FONT SIZE=1><B>Total Investments&#151;146.0%</B> (cost $1,019,860,006<SUP>10</SUP>)
  </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,024,350,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Liabilities in excess of other assets&#151;(46.0)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(322,870,026</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>701,480,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><HR NOSHADE  size=1 WIDTH=120 COLOR=GRAY ALIGN=LEFT>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Using the higher of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s
  rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Entire or partial principal amount pledged as
  collateral for reverse repurchase agreements. See Note 4 in the Notes to
  Financial Statements for details of open reverse repurchase agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Variable rate security. Rate shown is interest rate
  as of April 30, 2006.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Security is not registered under the Securities Act
  of 1933. These securities may be resold in transactions in accordance with
  Rule 144A under that Act, to qualified institutional buyers. As of April 30,
  2006, the Trust held 10.8% of its net assets, with a current market value of
  $75,520,012, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P> <FONT SIZE=1>Illiquid security. As of April 30, 2006, the Trust
  held 0.9% of its net assets, with a current market value of $6,613,922 in
  these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Issuer is in default and/or bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Rate shown is the yield to maturity as of April 30,
  2006.</FONT> </P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE=1><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Cost for Federal income tax purposes is
  $1,020,072,728. The net unrealized appreciation on a tax basis is $4,278,008,
  consisting of $13,603,272 gross unrealized appreciation and $9,325,264 gross
  unrealized depreciation.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>A category in the Corporate Bonds and Bank Loans
sections may contain multiple industries as defined by the SEC&#146;s Standard
Industry Codes.</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="30%">
<TR style="font-size:1px">
<TD WIDTH=173 VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-TOP:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P ALIGN=CENTER><FONT SIZE=1><B>KEY TO
  ABBREVIATIONS</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P style="margin-LEFT:25px"><FONT SIZE=1>CND &#151; Canadian Dollar</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P style="margin-LEFT:25px"><FONT SIZE=1>TBA &#151; To Be Announced</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P style="margin-LEFT:25px"><FONT SIZE=1>TBD &#151; To Be Determined</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK">
<P style="margin-LEFT:25px"><FONT SIZE=1>USD &#151; U.S. Dollar</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP STYLE="BORDER-LEFT:1PX SOLID BLACK;BORDER-RIGHT:1PX SOLID BLACK;BORDER-BOTTOM:1PX SOLID BLACK">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>

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

<P ALIGN=CENTER><FONT SIZE=2>See Notes to
Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>58</FONT></P>

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


<P><FONT SIZE=3><B>PORTFOLIO
OF INVESTMENTS (unaudited)<BR>
APRIL 30, 2006</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>LONG-TERM
  INVESTMENTS&#151;121.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Corporate
  Bonds&#151;114.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Aerospace
  &amp; Defense&#151;7.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AAR Corp., 8.39%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>252,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BE Aerospace, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>207,919</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DI Finance/DynCorp. Intl., 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,332,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>DRS Technologies, Inc., 7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lockheed Martin Corp., 8.50%, 12/01/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,527,455</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Northrop Grumman Corp., 7.125%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,060,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Raytheon Co., 4.85%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>629,453</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sequa Corp., 8.875%, 4/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>365,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>United Technologies Corp., 6.35%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,035,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,561,134</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Automotive&#151;3.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ArvinMeritor, Inc., 8.75%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Autonation, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.045%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Avis Budget Car Rental LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.576%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 5/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,053,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dura Operating Corp., 8.625%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Motors Corp., 8.25%, 7/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>362,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Goodyear Tire &amp; Rubber Co., 7.857%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lear Corp., 8.11%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>142,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>299,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Tenneco, Inc., 8.625%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>492</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>TRW Automotive, Inc., 9.375%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>528,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,872,991</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic
  Materials&#151;6.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Abitibi-Consolidated Co., 8.375%, 4/01/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>283,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>BCI US Finance Corp./Borden 2 Nova Scotia Finance
  ULC, 10.577%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>81,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bowater, Inc., 7.91%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Caraustar Industries, Inc., 9.875%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,289,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Domtar, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>36,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.875%, 10/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>135,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Donohue Forest Products, 7.625%, 5/15/07 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>121,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>99</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>113,355</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>56,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>12.318%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>193,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>IMC Global, Inc., 10.875%, 6/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>75,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>595</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Ineos Group Holdings PLC, 8.50%, 2/15/16 (United
  Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>563,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,155</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,189,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Lyondell Chemical Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>177</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.50%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>184,080</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>145,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nalco Co., 8.875%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>56,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>225,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nova Chemicals Corp., 8.405%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>357,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>59</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Basic
  Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rhodia SA, (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>235</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.875%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>243,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 6/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>22,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Weyerhaeuser Co., 6.125%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>170,036</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,655,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Building
  &amp; Development&#151;2.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ahern Rentals, Inc., 9.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Beazer Homes USA, Inc., 8.625%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,038,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compression Polymers Corp., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>153,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>595</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ERICO Intl. Corp., 8.875%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>612,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>665</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Goodman Global Holding Co., Inc., 7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>666,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>North American Energy Partners, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>53,763</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.00%, 6/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>212,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,815,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Conglomerates&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Honeywell Intl., Inc., 7.50%, 3/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>347,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Consumer
  Products&#151;8.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ALH Finance LLC, 8.50%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>88,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cenveo Corp., 9.625%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,402,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Finlay Fine Jewelry Corp., 8.375%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>232,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Mills, Inc., 5.125%, 2/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>997,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>320</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Gold Kist, Inc., 10.25%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>337,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>580</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Knowledge Learning Corp., Inc., 7.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>555,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lazydays RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>380,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Levi Strauss &amp; Co., 9.74%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>281,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Movie Gallery, Inc., 11.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nutro Products, Inc., 9.23%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Pantry, Inc., 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>507,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>96,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>540</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Rite Aid Corp., 6.125%, 12/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>530,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sonic Automotive, Inc., 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,442,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,937,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Containers
  &amp; Packaging&#151;1.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Crown Americas LLC and Crown Americas Capital Corp.,
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>409,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Packaging Dynamics Finance Corp., 10.00%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>71,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>515</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>540,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Smurfit-Stone Container Enterprises, Inc., 9.75%,
  2/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>184,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,261,694</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Ecological
  Services &amp; Equipment&#151;2.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Allied Waste NA, Inc., 5.75%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>253,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Casella Waste Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,595,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>570,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,419,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;13.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>ANR Pipeline Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190,088</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 11/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>785,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>245</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Aquila Finance Corp., 7.75%, 6/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>253,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>133,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Chesapeake Energy Corp., 6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Clayton Williams Energy, Inc., 7.75%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>254,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CMS Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.50%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>97,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>91,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.875%, 10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Compagnie Generale de Geophysique SA, 7.50%, 5/15/15
  (France)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>123,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>60</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>148,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.625%, 12/01/13
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>247,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,105,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Dominion Resources, Inc., 5.70%, 9/17/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>987,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>470</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dresser, Inc., 9.375%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>492,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>DTE Energy Co., 7.05%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>261,631</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Dynegy Danskammer LLC, 7.27%, 11/08/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>132,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>El Paso Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 1/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>164,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.80%, 8/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>203,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>182,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.75%, 10/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>El Paso Natural Gas Co., 8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>193,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>35,121</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>212,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>FirstEnergy Corp., 7.375%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,168,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Grant Prideco, Inc., 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>57,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hilcorp Energy I LP/Hilcorp Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>98,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.50%, 9/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>196,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Midwest Generation LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>561</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>602,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 5/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>399,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mirant Americas Generation LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.50%, 10/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 5/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>294,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Mission Energy Holdings Co., 13.50%, 7/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>136,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>287,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Occidental Petroleum Corp., 6.75%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>265,555</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ocean Rig AS, 8.375%, 7/01/13 (Norway)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>115,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>159,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Baa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Progress Energy, Inc., 7.75%, 3/01/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,137,893</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Reliant Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>285</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.75%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>259,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 7/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>132,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>406,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Verasun Energy Corp., 9.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>127,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Whiting Petroleum Corp., 7.00%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>59,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Williams Cos., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>102,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>241,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,121,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Entertainment
  &amp; Leisure&#151;4.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>214,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Greektown Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>261,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MGM Mirage, 6.00%, 10/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>192,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Poster Financial Group, Inc., 8.75%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>58,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Resorts Intl. Hotel &amp; Casino, Inc., 11.50%,
  3/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,095,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Royal Caribbean Cruises Ltd., 8.75%, 2/02/11
  (Liberia)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,650,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>San Pasqual Casino, 8.00%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Seneca Gaming Corp., 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
  6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,867,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>61</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Financial
  Institutions</B><B>&#151;</B><B>24.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Allstate Financial Global Funding LLC, 5.25%, 2/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>184,959</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Real Estate Partners LP/American Real Estate
  Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>228,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>724,554</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>BCP Crystal US Holdings Corp., 9.625%, 6/15/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>209,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Bear Stearns Co., Inc., 6.50%, 5/01/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>325,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Bluewater Finance Ltd., 10.25%, 2/15/12 (Cayman
  Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,095,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Citigroup, Inc., 5.75%, 5/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,000,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>590</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Crum &amp; Forster Holdings Corp., 10.375%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>613,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>E*Trade Financial Corp., 7.375%, 9/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>111,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Fairfax Financial Holdings Ltd., (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 4/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>292,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.75%, 4/26/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>171,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Ford Motor Credit Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.80%, 1/12/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>679,251</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.638%, 1/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,448,766</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.25%, 10/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,233</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>General Electric Capital Corp., 3.45%, 7/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,958,342</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>330</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>General Motors Acceptance Corp., 6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>305,173</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>HSBC Bank USA, Inc., 3.875%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,434,252</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>K&amp;F Acquisition, Inc., 7.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230,063</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>KFW Intl. Finance, Inc., 5.25%, 6/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>849,928</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>MetLife, Inc., 6.125%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>333,018</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>559,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>224,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.375%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,520,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Standard Aero Holdings, Inc., 8.25%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>579,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>855</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Structured Asset Receivable Trust, 1.649%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>855,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>TIAA Global Markets, Inc., 3.875%, 1/22/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>977,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal City Florida Holding Co. I/II, 9.899%,
  5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Aa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Wells Fargo &amp; Co., 3.50%, 4/04/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,937,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Aa3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Western Financial Bank, 9.625%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>23,023,647</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Health
  Care&#151;5.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>281,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Curative Health Services, Inc., 10.75%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MedQuest, Inc., 11.875%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>54,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Merck &amp; Co., Inc., 4.375%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>918,974</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Select Medical Corp., 7.625%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>100,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Tenet Healthcare Corp., 6.875%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>176,838</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>United Surgical Partners Intl., Inc., 10.00%,
  12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,597,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>290</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Universal Hospital Services, Inc., 10.125%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>301,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>WellPoint, Inc., 5.95%, 12/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>933,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Wyeth, 6.50%, 2/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,016,586</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,387,822</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Industrials&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>NationsRent Cos., Inc., 9.50%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>324,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>661,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>371,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>440</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Trimas Corp., 9.875%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>415,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>United Rentals NA, Inc., 7.00%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>745,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,518,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Media&#151;13.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>NR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Adelphia Communications Corp., 10.50%, 7/15/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>485,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>345</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.125%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>356,644</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>11.50%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>143,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Allbritton Communications Co., 7.75%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>165,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>American Media Operations, Inc., 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>335,031</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>62</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>AOL Time Warner, Inc., 7.70%, 5/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,090,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cablevision Systems Corp., 9.62%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>127,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Charter Communications Holdings II, LLC/Charter
  Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>315</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>318,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>105,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Comcast Cable Communications, Inc., 6.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,036,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>CSC Holdings, Inc., 7.875%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>204,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Echostar DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.75%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>541,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>7.125%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>43,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.24%, 10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>204,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Medianews Group, Inc., 6.875%, 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>118,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Network Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>133,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>News America, Inc., 6.20%, 12/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,374,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>329,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Paxson Communications Corp., 8.318%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>513,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Primedia, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>73,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.545%, 5/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>276,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Quebecor World, Inc., 8.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>223,072</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>RH Donnelley Corp., 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,018,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sinclair Broadcast Group, Inc., 4.875%, 7/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>61,777</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Caa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sirius Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>195,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>TCI Communications, Inc., 7.875%, 2/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,072,556</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Unity Media GmbH, 10.375%, 2/15/15 (Germany)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vertis, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>445</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>453,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>370</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>355,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BBB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Viacom, Inc., 6.625%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>87,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Caa2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>980</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>899,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,417,921</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Real
  Estate&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>860</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>American Real Estate Partners, 8.125%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>887,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>ERP Operating LP, 6.95%, 3/02/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>526,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Felcore Lodging LP, 8.50%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,075,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,489,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Technology&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Amkor Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>CCC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>5.00%, 3/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>69,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>370</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.25%, 2/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>390,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>565,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South
  Korea)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>MagnaChip Semiconductor SA/MagnaChip Semiconductor
  Finance Co., (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>6.875%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>152,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.00%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>18,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>8.16%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>301,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Sensata Technologies BV, 8.00%, 5/01/14 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>141,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>CCC+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>SS&amp;C Technologies, Inc., 11.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>314,913</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>STATS ChipPAC Ltd., 7.50%, 7/19/10 (Singapore)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Sungard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.125%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>171,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>410</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>9.431%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>436,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>580</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>620,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>990</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Superior Essex Communications LLC/Essex Group, Inc.,
  9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>997,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>UGS Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>405,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,745,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Telecommunications&#151;9.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>190</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>193,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hawaiian Telcom Communications, Inc., 10.789%,
  5/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>133,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>63</FONT></P>

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

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD) (continued)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="59%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rating<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="10" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Intelsat Ltd., (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>8.25%, 1/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>8.625%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>249,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>9.614%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300,162</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Lucent Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>6.45%, 3/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>22,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>905</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>6.50%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>794,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>520,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Nortel Networks Corp., 6.875%, 9/01/23 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>149,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>PanAmSat Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>131,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>209,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3403</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>8.16%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>370,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>87,763</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>SBC Communications, Inc., 6.45%, 6/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,459,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BBB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Telecom Italia Capital SA, 4.95%, 9/30/14
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>914,857</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Verizon New England, Inc., 6.50%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,029,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>A+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,069,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Wind Acquisition Finance SA, 10.75%, 12/01/15
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>274,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,962,516</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Transportation&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Ba3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>American Airlines, Inc., 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>121,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>A-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Canadian National Railway Co., 6.90%, 7/15/28
  (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>547,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>483,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>BB-</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Hertz Corp., 8.875%, 1/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>B3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Horizon Lines LLC, 9.00%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>40,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>B+</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>OMI Corp., 7.625%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>51,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>BB+</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Overseas Shipholding Group, Inc., 8.25%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>317,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,603,883</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>110,011,332</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>U.S.
  Government and Agency Securities&#151;5.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>410</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>U.S. Treasury Bonds, 5.375%, 2/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>416,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,010</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>2.50%, 5/31/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,008,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>933</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>2.625%, 11/15/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>921,192</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>810</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>4.125%, 8/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>785,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>4.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>954,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>4.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70,547</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-LEFT:8.65PT"><FONT SIZE=1>4.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>696,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,853,332</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Foreign
  Government Bond&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>Baa1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>United Mexican States, 8.125%, 12/30/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,152,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Supranational&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>AAA</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-4PX"><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>European Investment Bank, 4.875%, 9/06/06
  (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>848,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Total Investments&#151;121.9% </B><FONT   SIZE=1>(cost $117,648,668<SUP>7</SUP>)</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>116,866,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Liabilities in excess of other assets&#151;(21.9)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(20,991,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,874,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Using the higher of
  S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Security is not registered
  under the Securities Act of 1933. These securities may be resold in
  transactions in accordance with Rule 144A under that Act, to qualified institutional
  buyers. As of April 30, 2006, the Trust held 17.3% of its net assets, with a
  current market value of $16,551,289, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Variable rate security. Rate
  shown is interest rate as of April 30, 2006.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Entire or partial principal
  amount pledged as collateral for reverse repurchase agreements. See Note 4 in
  the Notes to Financial Statements for details of open reverse repurchase
  agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Illiquid security. As of
  April 30, 2006, the Trust held 0.9% of its net assets, with a current market
  value of $855,428 in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Issuer is in default and/or
  bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM STYLE="PADDING-TOP:4PX">
<P><FONT SIZE=1>Cost for Federal income tax
  purposes is $117,709,536. The net unrealized depreciation on a tax basis is
  $843,509, consisting of $2,224,866 gross unrealized appreciation and
  $3,068,375 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>A category in the Corporate
Bonds section may contain multiple industries as defined by the SEC&#146;s Standard
Industry Codes.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>64</FONT></P>

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

<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><A NAME="A004"></A><FONT SIZE=3><B>STATEMENTS OF ASSETS AND
  LIABILITIES (unaudited)<BR>
  </B><FONT SIZE=3><B>April 30, 2006</B></FONT></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Broad Investment<BR>
  Grade 2009<BR>
  Term Trust Inc.<SUP>1<BR>
  </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Core<BR>
  Bond Trust<BR>
  (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investments at value<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,475,879</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>364,635,493</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investment in affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>78,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>34,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>15,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Foreign currency at value<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,943,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Receivable from investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,717,673</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Variation margin receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>138,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Deposits with brokers as collateral for borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,781,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>421,886</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,732,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Unrealized appreciation on interest rate swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,271,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Other assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,927</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,953,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>383,318,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Liabilities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reverse repurchase agreement</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,238,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Payable to custodian</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Payable for investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,420,649</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Payable for dollar rolls</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,358,654</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Variation margin payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Unrealized loss on foreign currency exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>87,119</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Loan payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investments sold short at value<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Outstanding options written at value<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,423,139</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>TBA sale commitments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Unrealized depreciation on credit default swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>25,729</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,089,591</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest rate floors at value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investment advisory fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>143,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Administration fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,267</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Deferred Trustees&#146;fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>78,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Payable to affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,873</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>33,704</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Other accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>183,539</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>138,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>238,998</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,036,873</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Net
  Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>42,714,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>362,281,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Composition of Net Assets:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Par value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,571</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>27,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Paid-in capital in excess of par</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>41,775,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>386,195,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cost of shares held in treasury<SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Undistributed (distributions in excess of) net investment
income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,621,859</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,822,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Accumulated net realized loss</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,086,503</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(6,750,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net unrealized appreciation (depreciation)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(625,268</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(13,368,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Net assets, April 30, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>42,714,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>362,281,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net asset value<SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>1 </SUP><FONT   SIZE=1>Consolidated
  Statement of Assets and Liabilities</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>2 </SUP><FONT   SIZE=1>Investments at
  cost</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,101,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>374,718,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>3 </SUP><FONT   SIZE=1>Foreign
  currency at cost</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,964,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>4 </SUP><FONT   SIZE=1>Proceeds
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>5 </SUP><FONT   SIZE=1>Premium
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,748,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>6 </SUP><FONT   SIZE=1>Proceeds for
  TBA sale commitments</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1><SUP>7 </SUP><FONT   SIZE=1>Shares held in
  treasury</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>8 </SUP><FONT   SIZE=1>Shares
  outstanding</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,957,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>27,018,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>65</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="87%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>High<BR>
  Yield Trust<BR>
  (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Opportunity<BR>
  Trust<BR>
  (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Trust Inc.<BR>
  (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Limited<BR>
  Duration<BR>
  Income Trust<BR>
  (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Strategic<BR>
  Bond Trust<BR>
  (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,366,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>408,959,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>488,984,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,024,350,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>116,866,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>30,048</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>147,162</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>175,389</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>71,824</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>16,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,279</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>65,449</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>92,654</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,243,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,008,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,157,924</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,228,059</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,766,049</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>244,199</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>158,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>56,491,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,671,980</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,307,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,374,973</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,512,352</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,253,575</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,495,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>882,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>405</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>23,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,384</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>27,242</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>694</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>70,130,009</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>445,250,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>575,141,368</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,047,037,277</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>119,473,240</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,073,888</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>74,729,625</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>190,267,010</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,709,642</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>81,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,162,262</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>32,198,633</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,398,177</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,544,085</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,707,137</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>117,191,633</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>336,845</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>380,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,250,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>55,999,811</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,600,461</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,592,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>26,506,607</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,049,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>28,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,151,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,817,881</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>504,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,775,077</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>41,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>184,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>220,928</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>451,399</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>54,341</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>64,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>94,677</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,048</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>147,162</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>175,389</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,824</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>16,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,273</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>72,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,776</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>51,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>141,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>101,618</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>144,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>71,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,610,102</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>73,123,799</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>162,446,855</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>345,556,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>23,598,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>48,519,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>372,126,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>412,694,513</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>701,480,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>95,874,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>344,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>639,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,768</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>92,953,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>406,532,068</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>525,523,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>700,832,170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>98,695,235</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(17,377,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(86,097</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>665,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,357,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,442,279</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(173,367</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(35,207,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,703,315</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(91,704,526</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(6,970,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,871,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(9,146,432</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(12,333,896</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(19,406,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,139,967</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(782,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,519,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>372,126,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>412,694,513</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>701,480,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,874,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>76,513,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>418,124,258</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>520,800,595</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,019,860,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>117,648,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,160,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>59,142,549</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,950,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,942,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,515,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>23,070,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,757,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,413,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>34,449,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>63,942,536</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>36,768,498</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,058,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>66</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><A NAME="A005"></A><FONT SIZE=3><B>STATEMENTS OF OPERATIONS (unaudited)<BR></B><B>For the six months ended April 30, 2006</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Broad Investment<BR>
  Grade 2009<BR>
  Term Trust Inc.<SUP>1<BR>
  </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Core<BR>
  Bond Trust<BR>
  (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Investment
  Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,416,653</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,360,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Income from affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>667</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,152</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Total investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,417,320</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,363,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Expenses</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investment advisory</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>117,171</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,158,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Administration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,956</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Transfer agent</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Custodian</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,657</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>118,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reports to shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>15,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Directors/Trustees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,491</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Registration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>905</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Independent accountants</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Legal</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>41,806</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Insurance</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,320</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,303</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Deferred Trustees&#146; fee</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>667</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,152</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Miscellaneous</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,530</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>243,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,489,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>811,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>243,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,301,397</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Less fees waived by Advisor</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Less fees paid indirectly</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(4,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>243,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,297,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,174,229</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,066,057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><B>Realized
  and Unrealized Gain (Loss)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net realized gain (loss) on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(410,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(7,160,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(275,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Futures</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>476,720</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(93,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Short sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(410,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(7,020,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net change in unrealized appreciation/depreciation on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,643</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>833,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>44,886</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Futures</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,909,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Interest rate floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(176</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(567,414</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>149,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Short sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(4,449,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>Net gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(404,632</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(11,470,295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Net
  Increase (Decrease) in Net Assets Resulting from Operations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>769,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,404,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP colspan=2>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<td valign=bottom>
<P><FONT SIZE=1><SUP>1&nbsp;</SUP></font></p>
</td>
<TD VALIGN=bottom>
<P><FONT SIZE=1><FONT   SIZE=1>Consolidated
  Statement of Operations.</FONT></FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>67</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="87%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>High<BR>
  Yield Trust<BR>
  (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Opportunity<BR>
  Trust<BR>
  (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Trust Inc.<BR>
  (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Limited<BR>
  Duration<BR>
  Income Trust<BR>
  (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Strategic<BR>
  Bond Trust<BR>
  (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,099,052</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,558,942</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,402,060</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,802,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,633,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,947</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,024</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,142</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,101,999</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,561,509</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>19,410,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>32,805,929</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,634,226</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>361,799</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,159,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,344,271</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,681,434</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>460,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>34,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>193,314</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>310,216</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,964</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>37,105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>54,054</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>137,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>134,547</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>242,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52,180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>19,711</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>55,998</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>77,319</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>88,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>15,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,431</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>35,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,039</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>22,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>37,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>33,947</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,489</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,222</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>37,599</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>37,833</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>56,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,116</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>17,864</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,086</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,772</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,024</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,142</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,927</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>34,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>30,749</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,779</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>528,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,725,968</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,081,946</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,214,757</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>594,021</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>508,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,559,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,990,462</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,580,988</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>599,944</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,036,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,285,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,072,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,795,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,193,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(122,682</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,063</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(13,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(32,942</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,033,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,282,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>7,058,682</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,762,803</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,067,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,068,818</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,279,152</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>12,351,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,043,126</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,566,269</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(664,711</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,516,079</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,354,535</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,961,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(1,114,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(1,167,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,731,356</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(62,051</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(21,862</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>24,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>34,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>156,854</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(178,937</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>127,133</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(640,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,890,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,482,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,755,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(1,114,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,281,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,772,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,897,703</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,714,881</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>603,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(458,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,839,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>258,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,608,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(564,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(416,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>161,502</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>161,801</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(865,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,869,484</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,281,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(8,879,959</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,415,579</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,252,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>603,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>640,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(14,770,044</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,933,487</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(503,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(510,689</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,709,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,490,892</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,417,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,539,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,055,580</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>68</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><A NAME="A006"></A><FONT SIZE=3><B>STATEMENTS OF CASH FLOWS
  (unaudited)<BR>
  </B><FONT SIZE=3><B>For the six months ended April 30, 2006</B></FONT></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Broad Investment<BR>
  Grade 2009<BR>
  Term Trust Inc.<SUP>1<BR>
  </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Core<BR>
  Bond Trust<BR>
  (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1><B>Reconciliation of Net Increase (Decrease)<BR>
  in Net Assets Resulting from Operations to<BR>
  Net Cash Flows Provided by<BR>
  Operating Activities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Net Increase (Decrease) in
  net assets resulting from operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>769,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(1,404,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Purchases of long-term
  investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(745,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,058,379,654</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Proceeds from sales of
  long-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>3,232,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>1,182,296,960</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net proceeds (purchases) of
  short-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(2,430,755</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,055,903</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease (Increase) in
  deposits with brokers as collateral for borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(3,781,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net amortization of premium
  and discount on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>152,441</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,975,673</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Net realized loss on
  investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>410,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>7,160,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease (Increase) in
  unrealized appreciation/depreciation on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,644</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(833,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Net effect of exchange rates
  on foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(275,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease in investments sold
  short</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in outstanding
  options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(117,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase (Decrease) in TBA
  sale commitments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in interest rate
  floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease in interest rate
  swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>573,973</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in credit default
  swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>176</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>27,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase in investments in
  affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(2,167</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(17,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease (Increase) in
  receivable for investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>28,039,294</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease in foreign currency
  exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>136,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Increase in variation margin
  receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(66,269</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease in interest
  receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>87,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,282,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in other assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>3,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>21,076</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase (Decrease) in
  payable for investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(44,128,779</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in payable for
  dollar rolls</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(5,914,216</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase in variation margin
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Increase (Decrease) in
  interest payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(4,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(56,760</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Decrease in investment
  advisory fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,178</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(58,494</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Decrease in administration
  fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(321</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase in deferred
  Directors/Trustees fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,167</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>17,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Increase in payable to
  affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>1,810</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>12,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Increase (Decrease) in
  accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(186,391</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(20,004</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>Total adjustments</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>514,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>103,838,404</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net cash provided by
  operating activities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,283,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,434,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=2><B>Increase
  (Decrease) in Cash and Foreign Currency</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net cash provided by
  operating activities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,283,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>102,434,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>Cash used for financing
  activities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Capital contributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Increase (Decrease) in reverse repurchase agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(80,637,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Decrease in loan payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cash dividends paid</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(1,330,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(21,828,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Net cash used for financing
  activities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,330,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(102,465,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net increase (decrease) in cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(46,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(31,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cash and foreign currency at beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>81,748</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,991,454</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Cash and foreign currency (overdraft) at end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>34,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>3,959,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>Consolidated Statement of
  Cash Flows.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>69</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="87%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>High Yield<BR>
  Trust<BR>
  (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM  NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Opportunity<BR>
  Trust<BR>
  (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Income<BR>
  Trust Inc.<BR>
  (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Limited<BR>
  Duration<BR>
  Income Trust<BR>
  (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Strategic<BR>
  Bond Trust<BR>
  (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,709,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,490,892</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,417,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,539,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,055,580</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(29,831,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,521,764,979</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(506,589,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(997,994,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(31,765,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>29,115,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,713,047,482</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>585,695,018</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>956,548,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>39,752,259</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>947,816</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>368,023</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>746,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(2,316,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>711,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>16,605,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>8,670,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(12,362</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(449,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>6,624,846</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,116,183</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>103,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>664,711</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,516,079</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,354,535</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,961,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,114,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,281,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,772,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,897,703</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(4,714,881</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(603,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>48,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(16,102,372</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(128,168</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(87,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(95,589,254</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,544,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,775,077</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>571,946</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>416,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>31,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(18,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(26,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(25,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,291</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(630,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>167,095,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>23,036,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(916,974</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(179,464</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>458,430</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(41,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>24,423</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,796,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>21,109</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>52,619</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>313,862</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>6,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,572</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>21,059</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>20,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>9,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>879,236</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(137,042,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(47,549,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>29,190,224</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,453,618</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,518,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>204,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,701</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(138,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(198,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>154,679</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(15,503</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(2,332</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(20,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(10,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(19,178</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(6,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(222</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,435</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>18,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>25,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,291</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(17,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(54,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(63,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,998</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(21,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(141,887</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>135,979,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>80,354,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(7,244,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>10,869,291</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,567,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>132,488,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>88,772,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>18,295,143</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>13,924,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,567,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>132,488,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>88,772,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>18,295,143</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>13,924,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>15,047</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(110,105,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(74,828,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>14,256,748</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(10,172,906</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,128,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(22,460,305</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,113,526</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(29,020,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,726,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(2,613,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(132,565,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(88,942,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(14,763,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(13,899,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(45,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(76,826</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(169,861</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>3,531,471</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>25,129</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>97,957</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>78,105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>88,034</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,777,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>67,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>52,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,279</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(81,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>5,309,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>92,654</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>70</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><A NAME="A007"></A><FONT SIZE=3><B>STATEMENTS OF CHANGES IN NET ASSETS<BR>
  </B><FONT SIZE=3><B>For the six months ended April 30, 2006 (unaudited)
  and the year ended October 31, 2005</B></FONT></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="48%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Broad Investment Grade<BR>
  2009 Term Trust Inc.<SUP>1<BR>
  </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Core Bond Trust<BR>
  (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Increase (Decrease) in Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


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


<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Operations:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,174,229</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,365,140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>10,066,057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>20,946,361</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(410,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>785,483</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(7,020,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>17,026,631</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net change in unrealized appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>5,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,333,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(4,449,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(26,925,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net increase (decrease) in net assets resulting from
operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>769,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(183,113</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,404,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>11,047,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Dividends and Distributions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net investment income<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,330,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,053,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(14,403,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(27,245,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net realized gain</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(742,526</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(7,424,192</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,450,897</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(1,330,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,796,316</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(21,828,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(36,696,629</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Capital Share Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reinvestment of dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total increase (decrease)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(561,095</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,979,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(23,232,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(25,649,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,276,004</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>47,255,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>385,513,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>411,163,258</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>End of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>42,714,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>43,276,004</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>362,281,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>385,513,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>End of period undistributed (distributions in excess of) net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,621,859</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,778,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,822,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>515,459</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1>Consolidated Statement of
  Changes in Net Assets.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT   SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1>A portion of the dividends
  from net investment income for the six months ended April 30, 2006 may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>71</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="87%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>High Yield Trust<BR>
  (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Income Opportunity Trust<BR>
  (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Income Trust Inc.<BR>
  (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,068,818</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>4,365,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>11,279,152</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>24,695,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>12,351,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>28,144,451</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(640,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>863,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,890,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>14,315,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>1,482,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(15,436,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,281,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,198,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(8,879,959</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(30,139,747</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,415,579</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(3,057,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,709,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>2,029,619</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,490,892</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,871,086</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>8,417,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>9,651,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
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</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,128,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(5,087,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(12,794,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(27,821,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(14,113,526</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(30,667,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,665,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,614,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(4,798,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
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</TR>
<TR>
<TD VALIGN=TOP>
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<TD VALIGN=BOTTOM>
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<P ALIGN=RIGHT><FONT SIZE=1>(2,128,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
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<P ALIGN=RIGHT><FONT SIZE=1>(5,087,371</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(22,460,305</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(37,436,482</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(14,113,526</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(35,465,482</FONT></P>
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<TD VALIGN=TOP>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=TOP>
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<TD VALIGN=TOP>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
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<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>15,047</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>67,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>1,569,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>596,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(2,990,207</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(25,951,197</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(28,565,396</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(5,695,611</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>(24,244,492</FONT></P>
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<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<TD VALIGN=BOTTOM>
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<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
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</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>47,923,833</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>50,914,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>398,078,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>426,643,449</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>418,390,124</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>442,634,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
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</TD>
<TD VALIGN=TOP>
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</TD>
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<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
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</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
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</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>48,519,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>47,923,833</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
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</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>372,126,856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
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<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>398,078,053</FONT></P>
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<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>412,694,513</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>418,390,124</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(86,097</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(26,235</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>665,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>2,180,817</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(2,357,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>(595,003</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>72</FONT></P>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P ALIGN=LEFT STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P><PAGE>
<BR>
<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3><B>STATEMENTS OF CHANGES IN NET ASSETS
  (continued)<BR>
  </B><FONT SIZE=3><B>For the six months ended April 30, 2006 (unaudited)
  and the year ended October 31, 2005</B></FONT></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="47%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Limited Duration Income Trust<BR>
  (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM  NOWRAP>
<P ALIGN=CENTER><FONT SIZE=1><B>Strategic Bond Trust<BR>
  (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Increase (Decrease) in Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Operations:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>26,043,126</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>53,638,295</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>3,566,269</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>7,734,392</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net realized loss</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(4,755,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(2,199,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(1,114,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(324,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net change in unrealized appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>4,252,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(32,007,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>603,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(7,608,367</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net increase (decrease) in net assets resulting from
operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>25,539,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>19,431,199</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>3,055,580</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(198,134</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Dividends and Distributions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net investment income<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(29,020,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(49,020,501</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(3,726,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(7,935,935</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Net realized gain</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(5,497,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(1,898,203</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(29,020,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(54,517,748</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(3,726,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>(9,834,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Capital Share Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Reinvestment of dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>822,572</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>145,218</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Total decrease</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(3,480,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(34,263,977</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(671,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(9,887,054</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>Beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>704,961,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>739,225,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>96,546,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>106,433,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>End of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>701,480,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>704,961,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>95,874,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>96,546,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1>End of period undistributed (distributions in excess of) net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>3,442,279</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>6,419,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(173,367</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>(12,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE   BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>A portion of the dividends
  from net investment income for the six months ended April 30, 2006 may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>73</FONT></P>

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


<P><FONT SIZE=3><B>CONSOLIDATED
FINANCIAL HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="37%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=2><B>Six Months Ended</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="14" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Year Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>(unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2001</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="82%" NOSHADE COLOR=BLACK ALIGN=CENTER style="margin-left:-5px">
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>27.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" NOWRAP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense and excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>42,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>45,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47,191</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>49,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>48,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>43,701</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>116</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>42,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>43,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>51,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47,466</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23,669</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,373</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,453</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,165</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,055</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,080</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="3%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=2>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1">Total investment return is
calculated assuming a purchase of a share at the current market price on the
first day and a sale at the current market price on the last day of each
period reported. Dividends and distributions, if any, are assumed for
purposes of this calculation to be reinvested at prices obtained under the
Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect
brokerage commissions. Past performance is not a guarantee of future results. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1">Annualized. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD  VALIGN=BOTTOM>
<P><FONT SIZE="1">Per $1,000 of reverse
repurchase agreements outstanding. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other supplemental
data for each period indicated. This information has been determined based upon
financial information provided in the financial statements and market price
data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>74</FONT></P>

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

<P><A NAME="A008"></A><FONT SIZE=3><B>FINANCIAL
HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Core Bond Trust (BHK)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="29%" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>For the period</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=1><B>Six Months Ended</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="8" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Year Ended October 31</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=TOP nowrap>
<P ALIGN=CENTER><FONT SIZE=1><B>November 30, 2001<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>through</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>(unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>October 31, 2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="88%" NOSHADE COLOR=BLACK ALIGN=CENTER style="margin-left:-5px">
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1><sup>2</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1>)<sup>3</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Capital charges with respect to issuance of shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13.69</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>4</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.67</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-5px"><FONT SIZE=1>%<sup>5</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>377,526</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>402,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>401,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>401,049</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>380,277</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>161</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>73</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>362,281</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>385,514</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>411,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>398,540</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>387,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>86,876</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>102,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>91,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>165,215</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>59,072</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,348</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,342</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>38,309</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>91,130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>145,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>67,591</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>35,207</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="3%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP colspan=2>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Commencement of investment
operations. This information includes the initial investment by BlackRock
Funding, Inc. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Net asset value, beginning
of period, reflects a deduction of $0.675 per share sales charge from the
initial offering price of $15.00 per share. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">A portion of the dividends
from net investment income for the six months ended April 30, 2006 may be
deemed a tax return of capital or net realized gain at fiscal year end. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Total investment return is
calculated assuming a purchase of a share at the current market price on the
first day and a sale at the current 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 Trust&#146;s
dividend reinvestment plan. Total investment returns do not reflect brokerage
commissions. Total investment returns for less than a full year are not
annualized. Past performance is not a guarantee of future results. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>5</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Annualized. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>6</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Per $1,000 of reverse
repurchase agreements outstanding. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>



<P ALIGN=CENTER><FONT SIZE=2>75</FONT></P>

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

<P><FONT SIZE=3><B>FINANCIAL
HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock High Yield Trust (BHY)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="25%" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Six Months Ended</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="14" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Year Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>(unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2001</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="80%" NOSHADE COLOR=BLACK ALIGN=CENTER style="margin-left:-7px">
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(3.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-3px"><FONT SIZE=2>)<sup>1</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.59</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(13.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>32.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(11.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=2>%<sup>3</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.69</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-3px"><FONT SIZE=2>%<sup>3</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=2>%<sup>3</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.67</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P style="margin-top:-3px"><FONT SIZE=2>%<sup>3</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>48,142</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>48,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>41,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>46,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>58,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>102</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>147</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>48,520</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>47,924</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50,914</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>44,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>38,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>45,520</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Loan outstanding, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,024</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,893</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Loan average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,999</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>28,449</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Loan weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="3%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN="2">
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">A portion of the dividends
from net investment income for the six months ended April 30, 2006 may be
deemed a tax return of capital or net realized gain at fiscal year end. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Total investment return is
calculated assuming a purchase of a share at the current market price on the
first day and a sale at the current market price on the last day of each
period reported. Dividends and distributions, if any, are assumed for
purposes of this calculation to be reinvested at prices obtained under the
Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect
brokerage commissions. Past performance is not a guarantee of future results. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Annualized. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-5px"><FONT SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Per $1,000 of loan
outstanding. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>76</FONT></P>

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

<P><FONT SIZE=3><B>FINANCIAL
HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Opportunity Trust (BNA)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR >
<TD WIDTH="29%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Six Months Ended</B></FONT></P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="46%" COLSPAN="14" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Year Ended October 31,</B></FONT></P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>(unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2001</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="5%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="4%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="4%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="4%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.47</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="4%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM  WIDTH="1%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>)<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT'><FONT   SIZE=2>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Increase resulting from Trust shares repurchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11.47</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM NOWRAP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>389,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>413,777</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>415,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>413,543</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>394,495</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>388,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>396</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>46</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>153</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>83</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>372,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>398,078</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>426,643</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>410,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>407,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>397,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>120,179</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>94,644</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>103,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>85,704</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>136,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>37,940</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,508</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,755</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,916</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>75,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>122,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>97,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>136,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>36,153</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>151,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="3%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=2>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=2><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=top>
<P><FONT SIZE=1>A portion of the dividends
  from net investment income for the six months ended April 30, 2006 may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1">Total investment return is
calculated assuming a purchase of a share at the current market price on the
first day and a sale at the current market price on the last day of each
period reported. Dividends and distributions, if any, are assumed for
purposes of this calculation to be reinvested at prices obtained under the
Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect
brokerage commissions. Past performance is not a guarantee of future results. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>Annualized.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1">Per $1,000 of reverse
repurchase agreements outstanding. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>77</FONT></P>

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

<P><FONT SIZE=3><B>FINANCIAL
HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="28%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Six Months Ended</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="14" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Year Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>(unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>2001</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="80%" NOSHADE COLOR=BLACK ALIGN=CENTER STYLE="MARGIN-LEFT:-5PX">
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="2">)<sup>1</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" NOWRAP>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>23.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" nowrap>
<P><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-top:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-top:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-top:-3PX"><FONT SIZE=2>%<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>417,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>430,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>447,984</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>472,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>506,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>470,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>64</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>412,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>418,390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>442,635</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>457,301</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>511,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>506,764</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>74,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>149,558</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>223,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>121,767</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>205,792</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>118,634</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,523</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,485</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,272</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>153,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>180,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>158,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>135,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>173,501</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>148,204</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="3%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
<TD WIDTH="97%" VALIGN=TOP>
<P><FONT SIZE="1">&nbsp; </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=2>
<HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">A portion of the dividends
from net investment income for the six months ended April 30, 2006 may be
deemed a tax return of capital or net realized gain at fiscal year end. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Total investment return is
calculated assuming a purchase of a share at the current market price on the
first day and a sale at the current market price on the last day of each
period reported. Dividends and distributions, if any, are assumed for
purposes of this calculation to be reinvested at prices obtained under the
Trust&#146;s dividend reinvestment plan. Total investment returns do not reflect
brokerage commissions. Past performance is not a guarantee of future results. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Annualized. </FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-5PX"><FONT SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE="1">Per $1,000 of reverse
repurchase agreements outstanding. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>78</FONT></P>

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


<P><FONT SIZE=3><B>FINANCIAL HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="44%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" ROWSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Six
  Months Ended<BR>
  April 30, 2006<BR>
  (unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" ROWSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>For the
  period<BR>
  July 30, 2003<SUP>1</SUP><BR>
  through<BR>
  October 31, 2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Year
  Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>2</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Capital charges with respect to issuance of shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>3</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(5.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(4.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.47</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>4</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>703,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>722,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>730,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>686,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>127</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>701,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>704,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>739,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>724,747</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>190,267</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>176,010</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>159,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>118,993</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,005</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>164,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>186,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>195,845</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26,591</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Commencement of investment
  operations. This information includes the initial investment by BlackRock
  Funding, Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Net asset value, beginning
  of period, reflects a deduction of $0.90 per share sales charge from the
  initial offering price of $20.00 per share.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P style=margin-top:-5px><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Total investment return is
  calculated assuming a purchase of a share at the current market price on the
  first day and a sale at the current 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 Trust&#146;s
  dividend reinvestment plan. Total investment returns do not reflect brokerage
  commissions. Total investment returns for less than a full year are not
  annualized. Past performance is not a guarantee of future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Annualized.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Per $1,000 reverse
  repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>79</FONT></P>

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

<P><FONT SIZE=3><B>FINANCIAL HIGHLIGHTS</B></FONT></P>

<P><FONT SIZE=2><B>BlackRock Strategic Bond Trust (BHD)</B></FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="32%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" ROWSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Six
  Months Ended<BR>
  April 30, 2006<BR>
  (unaudited)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="7" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" ROWSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>For the
  period<BR>
  February 28, 2002<SUP>1</SUP><BR>
  through<BR>
  October 31, 2002</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="8" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Year
  Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>PER SHARE OPERATING PERFORMANCE:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>14.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>2</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.59</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Capital charges with respect to issuance of shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(0.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net asset value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Market price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>TOTAL INVESTMENT RETURN<SUP>4</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(18.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>37.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(12.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>RATIOS TO AVERAGE NET ASSETS:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net expenses excluding interest expense and excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>5</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>SUPPLEMENTAL DATA:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Average net assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>96,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>101,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>106,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>98,498</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>95,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Net assets, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>95,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>96,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>106,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>106,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>88,594</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements outstanding, end of period
(000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>31,883</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>45,872</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>44,223</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Asset coverage, end of period<SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,003</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>26,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>30,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>27,652</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>46,036</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>44,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Reverse repurchase agreements weighted average interest
rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Commencement of investment
  operations. This information includes the initial investment by BlackRock
  Funding, Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Net asset value, beginning
  of period, reflects a deduction of $0.675 per share sales charge from the
  initial offering price of $15.00 per share.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>A portion of the dividends
  from net investment income for the six months ended April 30, 2006 may be
  deemed a tax return of capital or net realized gain at fiscal year end.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Total investment return is
  calculated assuming a purchase of a share at the current market price on the
  first day and a sale at the current 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 Trust&#146;s
  dividend reinvestment plan. Total investment returns do not reflect brokerage
  commissions. Total investment returns for less than a full year are not
  annualized. Past performance is not a guarantee of future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Annualized.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-5px><FONT SIZE=1><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>Per $1,000 of reverse
  repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=1>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>See Notes to Financial Statements.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>80</FONT></P>

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

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><A NAME="A009"></A><FONT SIZE=3><B>NOTES TO FINANCIAL STATEMENTS
  (unaudited)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=3><B>Note 1. Organization</B> <B>&amp; Accounting
Policies</B></FONT></P>

<P><FONT SIZE=2>BlackRock Broad Investment
Grade 2009 Term Trust Inc. (&#147;Broad Investment Grade&#148;), BlackRock Core Bond Trust (&#147;Core Bond&#148;), BlackRock High
Yield
Trust (&#147;High Yield&#148;), BlackRock Income Opportunity Trust (&#147;Income
Opportunity&#148;), BlackRock Income Trust Inc. (&#147;Income Trust&#148;), BlackRock Limited
Duration Income Trust (&#147;Limited Duration&#148;) and BlackRock Strategic Bond Trust
(&#147;Strategic Bond&#148;) (collectively, the &#147;Trusts&#148;) are registered as diversified,
closed-end management investment companies under the Investment Company Act of
1940, as amended. Broad Investment Grade, Income Opportunity and Income Trust
are organized as Maryland corporations. Core Bond, High Yield, Limited Duration
and Strategic Bond are organized as Delaware statutory trusts.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On
December 3, 1999, Broad Investment Grade transferred a substantial portion of
its total assets to a 100% owned regulated investment company subsidiary called
BCT Subsidiary, Inc. The financial statements and these notes to the financial
statements for Broad Investment Grade are consolidated and include the
operations of both Broad Investment Grade and its wholly owned subsidiary after
elimination of all intercompany transactions and balances.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Under
the Trusts&#146; organizational documents, their officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trusts. In addition, in the normal course of business, the Trusts
enter into contracts with their vendors and others that provide for general
indemnifications. The Trusts&#146; maximum exposure under these arrangements are
unknown as this would involve future claims that may be made against the
Trusts. However, based on experience, the Trusts consider the risk of loss from
such claims to be remote.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
following is a summary of significant accounting policies followed by the
Trusts.</FONT></P>

<P><FONT SIZE=2><B>Investment Valuation:</B> The Trusts value most of their investments on
the basis of current market quotations provided by dealers or pricing services
selected under the supervision of each Trust&#146;s Board (the &#147;Board&#148;) of
Directors/Trustees (the &#147;Trustees&#148;). In determining the value of a particular
investment, pricing services may use certain information with respect to
transactions in such investments, quotations from dealers, market transactions
in comparable investments, various relationships observed in the market between
investments, and calculated yield measures based on valuation technology
commonly employed in the market for such investments. Exchange-traded options
are valued at their last sales price as of the close of options trading on
applicable exchanges. In the absence of a last sale, options are valued at the
average of the quoted bid and asked prices as of the close of business. A
futures contract is valued at the last sale price as of the close of the
commodities exchange on which it trades. Swap quotations are provided by
dealers selected under the supervision of the Board. Short-term securities may
be valued at amortized cost. Investments in open-end investment companies are
valued at net asset value per share. Investments or assets for which such
current market quotations are not readily available are valued at fair value
(&#147;Fair Value Assets&#148;) as determined in good faith under procedures established
by, and under the general supervision and responsibility of, each Trust&#146;s
Board. The investment advisor and/or sub-advisor will submit its
recommendations regarding the valuation and/or valuation methodologies for Fair
Value Assets to a valuation committee. The valuation committee may accept,
modify or reject any recommendations. The pricing of all Fair Value Assets
shall be subsequently reported to the Board.</FONT></P>

<P><FONT SIZE=2>When determining the price
for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to
determine the price that the Trust might reasonably expect to receive from the
current sale of that asset in an arm&#146;s-length transaction. Fair value
determinations shall be based upon all available factors that the investment
advisor and/or sub-advisor deems relevant.</FONT></P>

<P><FONT SIZE=2><B>Investment Transactions and Investment Income:</B> Investment transactions are recorded on the
trade date. The cost of investments sold and the related gain or loss is
determined by use of the specific identification method, generally first-in,
first out, for both financial reporting and federal income tax purposes. Each
Trust records interest income on an accrual basis and amortizes premium and/or
accretes discount on securities purchased using the interest method.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
Trust may from time to time purchase in the secondary market certain mortgage
pass-through securities packaged or master serviced by affiliates or
mortgage-related securities containing loans or mortgages originated by PNC
Bank or its affiliates, including Midland Loan Services, Inc., each of which is
an affiliate of BlackRock Advisors, Inc. It is possible under certain
circumstances, that PNC Mortgage Securities Corp. or its affiliates, including
Midland Loan Services, Inc., could have interests that are in conflict with the
holders of these mortgage-backed securities, and such holders could have rights
against PNC Mortgage Securities Corp. or its affiliates, including Midland Loan
Services, Inc.</FONT></P>

<P><FONT SIZE=2><B>Repurchase Agreements:</B> In connection with transactions in repurchase
agreements, a Trust&#146;s custodian takes possession of the underlying collateral
securities, the value of which at least equals the principal amount of the
repurchase transaction, including accrued interest. To the extent that any
repurchase transaction exceeds one business day, the value of the collateral is
marked-to-market on a daily basis to ensure the adequacy of the collateral. If
the seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by a Trust may be delayed or limited.</FONT></P>

<P><FONT SIZE=2><B>Reverse Repurchase Agreements:</B> The Trusts may enter into reverse repurchase
agreements with qualified third-party broker-dealers as determined by and under
the direction of the Trusts&#146; Board. Interest on the value of reverse repurchase
agreements issued and outstanding is based upon competitive market rates at the
time of issuance. At the time a Trust enters into a reverse repurchase
agreement, it will establish and maintain a segregated account with the lender,
containing liquid investment grade securities having a value not less than the
repurchase price, including accrued interest of the reverse repurchase
agreement. </FONT></P>

<P><FONT SIZE=2><B>Dollar Rolls:</B> The Trusts may enter into dollar rolls in which a Trust sells
securities for delivery in the current month and simultaneously contracts to
repurchase substantially similar (same type, coupon and maturity) securities on
a specified future date. During the roll period the Trusts forgo principal and
interest paid on the securities. The Trusts will be compensated by the interest
earned on the cash proceeds of the initial sale and/or by the lower repurchase
price at the future date.</FONT></P>

<P><FONT SIZE=2><B>Loan Payable:</B> High Yield has a $32 million committed credit facility (the
&#147;facility&#148;). Under the terms of the facility, the Trust borrows at the London
Interbank Offered Rate (&#147;LIBOR&#148;) plus facility and administrative fees. In
addition, the Trust pays a liquidity fee on the unused</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>81</FONT></P>

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

<P><FONT SIZE=2>portion of the facility. The
Trust may borrow up to 33 1/3% of its total assets up to the committed
amount. In accordance with the terms of the facility, the Trust has pledged its
portfolio assets as collateral for the borrowing.</FONT></P>

<P><FONT SIZE=2><B>Bank Loans:</B> In the process of buying, selling and holding bank loans, a Trust may
receive and/or pay certain fees. These fees are in addition to interest payments
received and may include facility fees, commitment fees, amendment fees,
commissions and prepayment penalty fees. When a Trust buys a bank loan it may
receive a facility fee and when it sells a bank loan it may pay a facility fee.
On an ongoing basis, a Trust may receive a commitment fee based on the undrawn
portion of the underlying line of credit portion of a bank loan. In certain
circumstances, a Trust may receive a prepayment penalty fee upon the prepayment
of a bank loan by a borrower. Other fees received by a Trust may include
covenant waiver fees and covenant modification fees.</FONT></P>

<P><FONT SIZE=2><B>Option Writing/Purchasing:</B> When a Trust writes or purchases an option,
an amount equal to the premium received or paid by the Trust is recorded as an
asset or a liability and is subsequently adjusted to the current market value
of the option written or purchased. Premiums received or paid from writing or
purchasing options which expire unexercised are treated by the Trust on the
expiration date as realized gains or losses. The difference between the premium
and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized
gain or loss. If an option is exercised, the premium paid or received is added
to the cost of the purchase or the proceeds from the sale in determining
whether a Trust has realized a gain or a loss on investment transactions. A
Trust, as writer of an option, may have no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security underlying
the written option.</FONT></P>

<P><FONT SIZE=2>Options, when used by the
Trusts, help in maintaining a targeted duration. Duration is a measure of the
price sensitivity of a security or a portfolio to relative changes in interest
rates. For instance, a duration of &#147;one&#148; means that a portfolio&#146;s or a
security&#146;s price would be expected to change by approximately one percent with
a one percent change in interest rates, while a duration of five would imply
that the price would move approximately five percent in relation to a one
percent change in interest rates.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Option
writing and purchasing may be used by the Trusts as an attempt to manage the
duration of positions, or collections of positions, so that changes in interest
rates do not adversely affect the targeted duration of the portfolio
unexpectedly. A call option gives the purchaser of the option the right (but
not obligation) to buy, and obligates the seller to sell (when the option is
exercised), the underlying position at the exercise price at any time or at a
specified time during the option period. A put option gives the holder the
right to sell and obligates the writer to buy the underlying position at the
exercise price at any time or at a specified time during the option period. Put
or call options can be purchased or sold to help manage the targeted duration
of the portfolio.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
main risk that is associated with purchasing options is that the option expires
without being exercised. In this case, the option expires worthless and the
premium paid for the option is considered the loss. The risk associated with
writing call options is that a Trust may forgo the opportunity for a profit if
the market value of the underlying position increases and the option is
exercised. The risk in writing put options is that a Trust may incur a loss if
the market value of the underlying position decreases and the option is
exercised. In addition, the Trust risks not being able to enter into a closing
transaction for the written option as the result of an illiquid market. </FONT></P>

<P><FONT SIZE=2><B>Stripped Mortgage-Backed Securities:</B> Stripped mortgage-backed securities are
usually structured with two classes that receive different proportions of the
interest and principal distributions on a pool of mortgage assets. In certain
cases, one class will receive all of the interest (the interest-only or &#147;IO&#148;
class), while the other class will receive all of the principal (the principal-only
or &#147;PO&#148; class). The yield to maturity on IOs is sensitive to the rate of
principal repayments (including prepayments) on the related underlying mortgage
assets, and principal payments may have a material effect on yield to maturity.
If the underlying mortgage assets experience greater than anticipated
prepayments of principal, a Trust may not fully recoup its initial investment
in IOs. Such securities will be considered liquid only if so determined in
accordance with guidelines established by the Trustees. </FONT></P>

<P><FONT SIZE=2><B>Credit Default Swaps:</B> Credit default swaps are agreements in which
one party pays fixed periodic payments to a counterparty in consideration for a
guarantee from the counterparty to make a specific payment should a negative
credit event take place. Risks arise from the possible inability of the
counterparties to meet the terms of their contracts.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During
the term of the swap, changes in the value of the swap are recognized as
unrealized gains or losses by &#147;marking-to-market&#148; to reflect the market value
of the swap. When the swap is terminated, a Trust will record a realized gain
or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the Trust&#146;s basis in the contract, if any. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are exposed to credit loss in the event of non-performance by the other
party to the swap. However, the Trusts closely monitor swaps and do not
anticipate non-performance by any counterparty. </FONT></P>

<P><FONT SIZE=2><B>Total Return Swaps:</B> Total return swaps are agreements in which one party commits to pay
interest in exchange for a market-linked return. To the extent the total return
of the security or index underlying the transaction exceeds or falls short of
the offsetting interest rate obligation, the Trust will receive a payment from
or make a payment to the counterparty.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During
the term of the swap, changes in the value of the swap are recognized as
unrealized gains or losses by &#147;marking-to-market&#148; to reflect the market value
of the swap. When the swap is terminated, a Trust will record a realized gain
or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the Trust&#146;s basis in the contract, if any. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are exposed to credit loss in the event of non-performance by the other
party to the swap. However, the Trusts closely monitor swaps and do not
anticipate non-performance by any counterparty. </FONT></P>

<P><FONT SIZE=2><B>Interest Rate Swaps:</B> Interest rate swaps are agreements in which one party pays a floating
rate of interest on a notional principal amount and receives a fixed rate of
interest on the same notional principal amount for a specified period of time.
Alternatively, a party may pay a fixed rate and receive a floating rate.
Interest rate swaps are efficient as asset/liability management tools. In more
complex swaps, the notional principal amount may decline (or amortize) over
time. </FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>82</FONT></P>

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

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During
the term of the swap, changes in the value of the swap are recognized as
unrealized gains or losses by &#147;marking-to-market&#148; to reflect the market value
of the swap. When the swap is terminated, a Trust will record a realized gain
or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the Trust&#146;s basis in the contract, if any. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are exposed to credit loss in the event of non-performance by the other
party to the swap. However, the Trusts closely monitor swaps and do not
anticipate non-performance by any counterparty. </FONT></P>

<P><FONT SIZE=2><B>Swap Options:</B> Swap options are similar to options on securities except that instead
of selling or purchasing the right to buy or sell a security, the writer or
purchaser of the swap option is granting or buying the right to enter into a
previously agreed upon interest rate swap agreement at any time before the expiration
of the option. Premiums received or paid from writing or purchasing options are
recorded as liabilities or assets and are subsequently adjusted to the current
market value of the option written or purchased. Premiums received or paid from
writing or purchasing options which expire unexercised are treated by a Trust
on the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commission, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to
the cost of the purchase or the proceeds from the sale in determining whether a
Trust has realized a gain or loss on investment transactions. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
main risk that is associated with purchasing swap options is that the swap
option expires without being exercised. In this case, the option expires
worthless and the premium paid for the swap option is considered the loss. The
main risk that is associated with the writing of a swap option is the market
risk of an unfavorable change in the value of the interest rate swap underlying
the written swap option. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swap
options may be used by the Trusts to manage the duration of the Trusts&#146;
portfolios in a manner similar to more generic options described above.</FONT></P>

<P><FONT SIZE=2><B>Interest Rate Caps:</B> Interest rate caps are similar to interest rate swaps, except that one
party agrees to pay a fee, while the other party pays the excess, if any, of a
floating rate over a specified fixed or floating rate. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest
rate caps are intended to both manage the duration of the Trusts&#146; portfolios
and their exposure to changes in short-term interest rates. Owning interest
rate caps reduces a portfolio&#146;s duration, making it less sensitive to changes
in interest rates from a market value perspective. The effect on income
involves protection from rising short-term interest rates, which the Trusts
experience primarily in the form of leverage. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are exposed to credit loss in the event of non-performance by the other
party to the interest rate cap. However, the Trusts do not anticipate
non-performance by any counterparty. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transaction
fees paid or received by the Trusts are recognized as assets or liabilities and
amortized or accreted into interest expense or income over the life of the
interest rate cap. The asset or liability is subsequently adjusted to the
current market value of the interest rate cap purchased or sold. Changes in the
value of the interest rate cap are recognized as unrealized gains and losses. </FONT></P>

<P><FONT SIZE=2><B>Interest Rate Floors:</B> Interest rate floors are similar to interest
rate swaps, except that one party agrees to pay a fee, while the other party
pays the deficiency, if any, of a floating rate under a specified fixed or
floating rate. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest
rate floors are used by the Trusts to both manage the duration of the
portfolios and their exposure to changes in short-term interest rates. Selling
interest rate floors reduces a portfolio&#146;s duration, making it less sensitive
to changes in interest rates from a market value perspective. The Trusts&#146;
leverage provides extra income in a period of falling rates. Selling floors
reduces some of that extra income by partially monetizing it as an up-front
payment which the Trusts receive. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts are exposed to credit loss in the event of non-performance by the other
party to the interest rate floor. However, the Trusts do not anticipate
non-performance by any counterparty. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transaction
fees paid or received by the Trusts are recognized as assets or liabilities and
amortized or accreted into interest expense or income over the life of the
interest rate floor. The asset or liability is subsequently adjusted to the
current market value of the interest rate floor purchased or sold. Changes in
the value of the interest rate floor are recognized as unrealized gains and
losses. </FONT></P>

<P><FONT SIZE=2><B>Financial Futures Contracts:</B> A futures contract is an agreement between
two parties to buy and sell a financial instrument for a set price on a future
date. Initial margin deposits are made upon entering into futures contracts and
can be either cash or securities. During the period the futures contract is
open, changes in the value of the contract are recognized as unrealized gains
or losses by marking-to-market on a daily basis to reflect the market value of
the contract at the end of each day&#146;s trading. Variation margin payments are
made or received, depending upon whether unrealized gains or losses are
incurred. When the contract is closed, a Trust records a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Trust&#146;s basis in the contract. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financial
futures contracts, when used by the Trusts, help in maintaining a targeted
duration. Futures contracts can be sold to effectively shorten an otherwise
longer duration portfolio. In the same sense, futures contracts can be
purchased to lengthen a portfolio that is shorter than its duration target.
Thus, by buying or selling futures contracts, the Trusts may attempt to manage
the duration of positions so that changes in interest rates do not change the
duration of the portfolio unexpectedly. </FONT></P>

<P><FONT SIZE=2><B>Forward Currency Contracts:</B> The Trusts enter into forward currency
contracts primarily to facilitate settlement of purchases and sales of foreign
securities and to help manage the overall exposure to foreign currency. A
forward contract is a commitment to purchase or sell a foreign currency at a
future date (usually the security transaction settlement date) at a negotiated
forward rate. In the event that a security fails to settle within the normal
settlement period, the forward currency contract is renegotiated at a new rate.
The gain or loss arising from the difference between the settlement value of
the original and renegotiated forward contracts is isolated and is included in
net realized gains (losses) from foreign currency transactions. Risks may arise
as a result of the potential inability of the counterparties to meet the terms
of their contract.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>83</FONT></P>

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

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forward
currency contracts, when used by the Trusts, help to manage the overall
exposure to the foreign currency backing some of the investments held by the
Trusts. Forward currency contracts are not meant to be used to eliminate all of
the exposure to the foreign currency, rather they allow the Trusts to limit
their exposure to foreign currency within a narrow band consistent with the
objectives of the Trusts. </FONT></P>

<P><FONT SIZE=2><B>Foreign Currency Translation:</B> Foreign currency amounts are translated into
United States dollars on the following basis: </FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="90%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(i)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>market value of investment
  securities, assets and liabilities at the current rate of exchange.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>(ii)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>purchases and sales of
  investment securities, income and expenses&#151;at the rates of exchange
  prevailing on the respective dates of such transactions. </FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts isolate that portion of the results of operations arising as a result of
changes in the foreign exchange rates from the fluctuations arising from
changes in the market prices of securities held at period end. Similarly, the
Trusts isolate the effect of changes in foreign exchange rates from the
fluctuations arising from changes in the market prices of portfolio securities
sold during the period. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net
realized and unrealized foreign exchange gains and losses includes realized
foreign exchange gains and losses from sales and maturities of foreign
portfolio securities, maturities of foreign reverse repurchase agreements,
sales of foreign currencies, currency gains or losses realized between the
trade and settlement dates on securities transactions, the difference between
the amounts of interest and discount recorded on the Trusts&#146; books and the U.S.
dollar equivalent amounts actually received or paid and changes in unrealized
foreign exchange gains and losses in the value of portfolio securities and
other assets and liabilities arising as a result of changes in the exchange
rate. </FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign
security and currency transactions may involve certain considerations and risks
not typically associated with those of domestic origin, including unanticipated
movements in the value of the foreign currency relative to the U.S. dollar. </FONT></P>

<P><FONT SIZE=2><B>Short Sales:</B> The Trusts may make short sales of securities as a method of managing
potential price declines in similar securities owned. When a Trust makes a
short sale, it may borrow the security sold short and deliver it to the
broker-dealer through which it made the short sale as collateral for its
obligation to deliver the security upon conclusion of the sale. The Trusts may
have to pay a fee to borrow the particular securities and may be obligated to
pay over any payments received on such borrowed securities. A gain, limited to
the price at which a Trust sold the security short, or a loss, unlimited as to
dollar amount, will be recognized upon the termination of a short sale if the
market price is greater or less than the proceeds originally received. </FONT></P>

<P><FONT SIZE=2><B>Bonds Borrowed Agreements:</B> In a bonds borrowed agreement, the Trust
borrows securities from a third party, with the commitment that they will be
returned to the lender on an agreed-upon date. Bonds borrowed agreements are
primarily entered into to settle short positions. In a bonds borrowed
agreement, the Trust&#146;s prime broker or third party broker takes possession of
the underlying collateral securities or cash to settle such short positions.
The value of the underlying collateral securities or cash approximates the
principal amount of the bonds borrowed transaction, including accrued interest.
To the extent that bonds borrowed transactions exceed one business day, the
value of the collateral with any counterparty is marked-to-market on a daily
basis to ensure the adequacy of the collateral. If the lender defaults and the
value of the collateral declines or if bankruptcy proceedings are commenced
with respect to the lender of the security, realization of the collateral by
the Trust may be delayed or limited.</FONT></P>

<P><FONT SIZE=2><B>Segregation:</B> In cases in which the Investment Company Act of 1940, as amended (the
&#147;1940 Act&#148;), and the interpretive positions of the Securities and Exchange
Commission (the &#147;Commission&#148;) require a Trust to segregate assets in connection
with certain investments (e.g., when-issued securities, reverse repurchase
agreements or futures contracts), each Trust will, consistent with certain
interpretive letters issued by the Commission, designate on its books and
records cash or liquid securities having a market value at least equal to the
amount that would otherwise be required to be physically segregated.</FONT></P>

<P><FONT SIZE=2><B>Federal Income Taxes:</B> It is each Trust&#146;s intention to continue to
be treated as a regulated investment company under the Internal Revenue Code
and to distribute sufficient amounts of their taxable income to shareholders.
Therefore, no federal income tax provisions have been recorded. As part of a
tax planning strategy, Broad Investment Grade has retained a portion of its
taxable income and will pay excise tax on the undistributed amounts.</FONT></P>

<P><FONT SIZE=2><B>Dividends and Distributions:</B> Each Trust declares and pays dividends and
distributions to common shareholders monthly from net investment income, net
realized short-term capital gains and if necessary other sources. Net long-term
capital gains, if any, in excess of loss carry-forwards may be distributed in
accordance with the 1940 Act. Dividends and distributions are recorded on the
ex-dividend date. Income distributions and capital gain distributions are
determined in accordance with income tax regulations which may differ from
accounting principles generally accepted in the United States of America.</FONT></P>

<P><FONT SIZE=2><B>Estimates:</B> The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
these estimates and such differences may be material.</FONT></P>

<P><FONT SIZE=2><B>Deferred Compensation and BlackRock Closed-End Share
Equivalent Investment Plan:</B> Under the deferred compensation plan approved by each Trust&#146;s Board,
non-interested Trustees are required to defer a portion of their annual
complex-wide compensation. Deferred amounts earn an approximate return as
though equivalent dollar amounts had been invested in common shares of other
BlackRock closed-end funds selected by the Trustees. These amounts are shown on
the Statements of Assets and Liabilities as &#147;Investments in affiliates&#148;. This
has the same economic effect for the Trustees as if the Trustees had invested
the deferred amounts in such Trusts.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
deferred compensation plan is not funded and obligations thereunder represent
general unsecured claims against the general assets of the Trust. Each Trust
may, however, elect to invest in common shares of those Trusts selected by the
Trustees in order to match its deferred compensation obligations.</FONT></P>

<P><FONT SIZE=2><B>Other:</B>
Expenses that are directly related to one of the Trusts are charged directly to
that Trust. Other operating expenses are generally prorated to the Trusts on
the basis of relative net assets of all of the BlackRock Closed-End Trusts.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>84</FONT></P>

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

<P><FONT SIZE=3><B>Note 2.
Agreements</B></FONT></P>

<P><FONT SIZE=2>Each Trust has an Investment
Management Agreement with BlackRock Advisors, Inc. (the &#147;Advisor&#148;), which is a
wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc.
(&#147;BFM&#148;), a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to
the Trusts. BlackRock, Inc. is an indirect, majority owned subsidiary of The
PNC Financial Services Group, Inc.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Broad
Investment Grade, High Yield, Income Opportunity and Income Trust each have an
Administration Agreement with the Advisor. The Investment Management Agreement
for Core Bond, Limited Duration and Strategic Bond covers both investment
advisory and administration services.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
Trust&#146;s investment advisory fee paid to the Advisor is computed weekly and
payable monthly based on an annual rate, 0.55% for Broad Investment Grade,
0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust&#146;s
average net assets and 0.55% for Core Bond and Limited Duration, 1.05% for High
Yield and 0.75% for Strategic Bond, of each Trust&#146;s average weekly managed
assets. &#147;Managed assets&#148; means the total assets of a Trust (including any
assets attributable to any borrowing that may be outstanding) minus the sum of
accrued liabilities (other than debt representing financial leverage). The
Advisor has voluntarily agreed to waive a portion of the investment advisory
fees or other expenses on Strategic Bond as a percentage of its average weekly
managed assets as follows: 0.20% for the first five years of the Trust&#146;s
operations, 0.15% in year six, 0.10% in year seven and 0.05% in year eight.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Advisor pays BFM fees for its sub-advisory services.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
administration fee paid to the Advisor by Broad Investment Grade, High Yield,
Income Opportunity and Income Trust is computed weekly and payable monthly
based on an annual rate of 0.15%, 0.10%, 0.10%, and 0.15%, respectively of the
Trusts&#146; average weekly managed assets.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant
to the Investment Management and Administration agreements, the Advisor
provides continuous supervision of the investment portfolio and pays the
compensation of officers of each Trust who are affiliated persons of the
Advisor, as well as occupancy and certain clerical and accounting costs of each
Trust. Each Trust bears all other costs and expenses, which include
reimbursements to the Advisor for cost of employees that provide pricing,
secondary market support, and compliance services to each Trust. For the six
months ended April 30, 2006, the Trusts reimbursed the Advisor the following
amounts:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="38%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="32%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="14%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="16%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,810</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>15,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant
to the terms of each Trust&#146;s custody agreement, each Trust may receive earnings
credits from its custodian for positive cash balances maintained, which are
used to offset custody fees. These credits are shown on the Statements of
Operations as &#147;fees paid indirectly&#148;.</FONT></P>

<P><FONT SIZE=3><B>Note 3.
Portfolio Investments</B></FONT></P>

<P><FONT SIZE=2>Purchases and sales of
investment securities, other than short-term investments, dollar rolls and
U.S. government securities, for the six months ended April 30, 2006 aggregated
as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="18%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="22%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="27%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>745,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,532,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>219,612,080</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>257,643,221</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>144,923,988</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>126,123,948</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>284,728,115</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>245,433,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>29,831,578</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>29,115,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>29,976,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>37,961,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>54,557,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>261,304,878</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases
and sales of U.S. government securities for the six months ended April 30, 2006
aggregated as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="18%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="20%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="24%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,270,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>54,405,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>73,314,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>215,852,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,788,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,790,622</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>66,680,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>190,368,090</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Details
of open forward currency contracts at April 30, 2006 were as follows: </FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="25%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Foreign<BR>
  Currency</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Settlement<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Contract to<BR>
  Purchase /<BR>
  Receive</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value at<BR>
  Settlement<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value at<BR>
  April 30,<BR>
  2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Unrealized<BR>
  Depreciation</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="18%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2><B>Sold:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>Euro</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6/13/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,903,360
  </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&#128;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,321,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,408,586</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>87,119</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2><B>Sold:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>Euro</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6/13/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,586,400
  </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&#128;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,033,221</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,334,689</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>301,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>British
  Pounds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6/15/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,000,500
  </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>&#163;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,571,157</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,650,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>79,251</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>380,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>85</FONT></P>

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


<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Income
Trust held interest rate floors at April 30, 2006. Under the agreement, Income
Trust pays the excess, if any, of a fixed rate over a floating rate. Income
Trust received a transaction fee for the floor. Transaction fees are amortized
through the termination of the agreement. Details of open interest rate floors
held at April 30, 2006 were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional<BR>
  Amount<BR>(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=2><B>Variable Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Floating Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Termination<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Amortized<BR>Cost</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Value at<BR>April 30, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Unrealized<BR>Appreciation</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>$225,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6" nowrap>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(2,490,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1,107,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,382,213</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;177,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>03/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,893,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(667,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,226,610</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(4,383,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(1,775,077</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,608,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>Details of
open interest rate swaps at April 30, 2006 were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="21%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Fixed<BR>
  Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Floating <BR>
  Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Termination<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Unrealized<BR>
  Appreciation<BR>
  (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="40%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/27/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(114,646</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,435</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.215</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(41,777</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/17/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(37,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.780</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/27/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(66,390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>41,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.510</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/29/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,812,079</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,056,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.305</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/17/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(548,834</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/18/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(636,029</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>210,168</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.372</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/30/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(409,716</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/02/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(369,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>24,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.444</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/17/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(259,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/07/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(69,618</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.870</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/25/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(260,596</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,271,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income
  Opportunity Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/27/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(159,686</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,056,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,735</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(44,571</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/17/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(39,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>27,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.399</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,086,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.780</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/27/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(74,689</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.510</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/29/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>941,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.305</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/17/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(517,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.458</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/18/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(318,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>225,180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/30/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(443,859</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.368</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>07/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(397,578</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>22,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.444</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/17/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(235,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.670</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/20/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(514,503</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/07/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(75,671</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,495,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>24,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/24/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(194,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>11,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/27/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(225,198</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.940</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/07/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>73,809</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,056,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/22/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>756,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>22,295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(47,924</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/17/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(42,735</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>12,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.399</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>948,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.780</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/27/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(74,689</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.902</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/17/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>427,327</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>25,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.883</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>03/21/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(1,180,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>16,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/22/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>680,561</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>225,180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.442</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>07/11/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(356,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.368</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>07/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(391,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.320</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>09/08/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(493,479</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.870</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/25/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(286,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>882,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=2><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P style="margin-top:3px"><FONT SIZE=2>Trust pays floating
  interest rate and receives fixed rate. </FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=2><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=2>Trust pays fixed interest
  rate and receives floating rate.</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>86</FONT></P>

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

<P><FONT SIZE=2>The terms of
the open credit default swap agreements at April 30, 2006 were to receive the
quarterly notional amount multiplied by 0.40% and pay Barclays Bank, upon
default event of Dow Jones CDX, the par value of the notional amount of Dow
Jones CDX. Details of open credit default swaps at April 30, 2006 were as
follows: </FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="61%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Termination<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Unrealized<BR>
  Depreciation</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="10%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(10,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/20/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(15,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(10,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/20/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(9,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(25,729</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income
  Opportunity Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/20/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(17,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/20/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(11,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(28,725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>Transactions
in options written during the six months ended April 30, 2006 were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="44%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Contracts/<BR>
  Notional Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Premium<BR>
  Received</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="25%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at October 31,
2005</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>60,200,070</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,716,753</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>69,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options expired</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options terminated in closing purchase
  transactions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>(37,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at April 30, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>60,200,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,748,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income
  Opportunity Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at October 31,
2005</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>64,600,076</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,917,398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>148</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>74,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options expired</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options terminated in closing purchase
  transactions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(76</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>(41,158</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at April 30, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>64,600,148</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,950,732</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<tr>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at October 31,
2005</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>64,400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,868,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>148</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>74,494</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options expired</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options terminated in closing purchase
  transactions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Options outstanding at April 30, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>64,400,148</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,942,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="73%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>

<TD VALIGN=TOP colspan=3>
<P><FONT SIZE=3><B>Note 4. Borrowings</B></FONT><BR><BR><FONT SIZE=2>Details of
  open reverse repurchase agreements at April 30, 2006 were as follows (please
  see Corresponding Underlying Collateral Chart on pages 88-90):</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="38%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust/Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT   SIZE=2><B>
  Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Trade</B><FONT SIZE=2><B><BR>
  Date</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>
 Maturity<BR>Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Net Closing<BR>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Par</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="50%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;&nbsp;4.800%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/05/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,589,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,578,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,666,521</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,659,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,238,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.760</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/05/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>892,824</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>890,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/24/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/05/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,435,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,430,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,007,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,997,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.820</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,761,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,755,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,073,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.770</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/26/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,857,622</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,816,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/26/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,316,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>19,278,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.840</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/13/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/17/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>33,592,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>33,525,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,179,904</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,109,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>74,729,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Credit Suisse First Boston
LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.940</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>03/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,278,997</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,212,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.840</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,346,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,309,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/03/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16,591,971</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16,532,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.670</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/04/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,946,521</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,925,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/03/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,897,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,862,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,802,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,402,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>49,243,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>87</FONT></P>

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

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH=277 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=20 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=57 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=20 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=59 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=20 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=69 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=19 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=8 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=70 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=17 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=8 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=70 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH=8 VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust/Counter
  Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Trade<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Maturity <BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Net Closing<BR>
  Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Par</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="50%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Limited Duration (con&#146;t)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;&nbsp;&nbsp;1.500%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>01/04/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,557,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,557,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3.250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/09/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>TBD</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,384,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,384,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.770</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>03/10/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,379,864</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,302,214</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/22/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/10/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>909,020</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>903,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/08/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>364,040</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>361,701</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2.750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/27/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>TBD</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>737,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>737,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>03/27/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/15/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>746,070</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>741,376</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.730</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/03/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,282,908</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,270,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/03/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,741,837</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,735,594</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/06/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,410,175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,405,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.920</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/11/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,317,128</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,275,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,782,283</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,757,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/11/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/10/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,366,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,353,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/11/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/10/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>885,374</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>882,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/12/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/19/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,848,307</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,826,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3.400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/25/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/02/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,261,413</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,223,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/19/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,551,652</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,486,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/19/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,731,678</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,720,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/19/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,659,132</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,650,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.790</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/24/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,510,653</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,508,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/24/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,001,904</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>20,939,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/26/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,034,065</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,026,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/26/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,680,137</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,668,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.020</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/27/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/12/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,317,015</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,312,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>141,024,010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Credit Suisse First Boston
LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.980</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/20/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,326,912</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,312,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.870</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/20/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,646,031</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,633,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>13,945,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.920</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,197,916</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,194,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.920</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/10/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>897,813</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>895,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.920</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/11/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/04/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>287,863</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>287,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>4.790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/12/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/19/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,719,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,703,755</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/20/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/19/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>713,541</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>710,887</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>04/26/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2>05/01/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>287,120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>287,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/28/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/16/06</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>688,752</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>687,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,764,642</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>Details of
underlying collateral for open reverse repurchase agreements at April 30, 2006
were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="19%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust /
  Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Maturity<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Original<BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Current<BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Market Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;&nbsp;2.350%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,675,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,675,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,582,072</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Tennessee Valley Authority</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>12/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,650,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,650,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,614,809</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,196,881</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Strip</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>0.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>876,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>02/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,710,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,710,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,268,817</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Resolution Funding Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>0.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,055,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,055,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,679,507</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,824,574</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>21,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>21,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>20,780,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>19,178,719</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Strip</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>0.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>90,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>90,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>33,514,740</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/31/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>438,799</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>73,912,414</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>88</FONT></P>

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

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="19%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Trust / Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Maturity<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Original <BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Current<BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Market Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Credit Suisse First Boston
LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>General Motors Acceptance Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,938,257</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Deutsche Telekom Intl. Finance BV</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,421,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>17,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>16,378,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,832,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>03/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,895,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Ford Motor Credit Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>02/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,800,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,800,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,257,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>49,723,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Metaldyne Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,825,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,825,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,761,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>New Page Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>11.399</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,635,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,335,498</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,802,594</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,703,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>657,205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>614,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>598,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>07/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,207,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,286,170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,252,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>800,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>444,464</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>432,852</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>410,794</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>400,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>03/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,006,453</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>336,201</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>327,418</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,212,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>585,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>570,598</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,379,155</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,827,099</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,779,699</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>306,253</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>285,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>278,170</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Echostar DBS Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.810</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,020,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/01/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>636,638</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>130,544</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>127,372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>02/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>397,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>130,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>126,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>248,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>111,657</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>108,740</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Fairfax Financial Holdings Ltd.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/26/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>890,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>890,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>845,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>12/01/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>129,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>26,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>26,341</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>01/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>263,772</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>123,072</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>119,895</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,132,320</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>629,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>612,747</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>188,819</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>88,816</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>86,495</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3.375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,425,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,425,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,264,988</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,815,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,815,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,707,234</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Cenveo Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>03/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,605,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Honda Auto Receivables</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2.300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/18/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,125,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,125,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,838,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>MBNA Credit Card Master Note Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,910,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,910,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,912,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Sequa Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,350,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,350,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,590,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Republic of Colombia</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>04/23/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>900,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>900,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>990,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Group 1 Automotive Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,800,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,800,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,896,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Swift Energy Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>05/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,337,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>GSR Mortgage Loan Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4.475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>10,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,211,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,864,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>GSR Mortgage Loan Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.698</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>10/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,214,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,856,801</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Tyco Intl. Group SA</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>11/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,577,843</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>DaimlerChrysler NA Holding Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4.050</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/04/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,265,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Comcast Cable Communications, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,685,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,685,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,926,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>DI Finance</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>02/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,220,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,220,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,499,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>American Real Estate Partnership</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,265,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Federal National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>17,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>18,122,928</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>CSC Holdings, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>6,120,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Midwest Generation LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8.560</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/02/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,365,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,664,733</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>6,089,588</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>AES Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5,400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>MGM Mirage</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,425,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,425,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,628,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Western Financial Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9.625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,330,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Concentra Operating Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,262,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>DR Horton Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>5.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>07/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,388,767</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>149,556,283</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>89</FONT></P>

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

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="19%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2><B>Trust / Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Maturity<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Original<BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Current<BR>
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Market Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Credit Suisse First Boston LLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Wells Fargo &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;&nbsp;3.500%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>04/04/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,937,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>HSBC Bank USA, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,434,252</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Comcast Cable Communications, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>06/15/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,036,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>SBC Communications, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>6.450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,459,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Dominion Resources, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>5.700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>09/17/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>987,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>DaimlerChrysler NA Holding Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>7.300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>01/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,053,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Citigroup, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>5.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>500,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>General Electric Cap. Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>3.450</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>07/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,958,342</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Verizon New England, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>09/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,029,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Merck &amp; Co., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.375</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>02/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>918,974</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>News America, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>6.200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>12/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>916,395</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>14,232,116</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Citigroup, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>5.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/10/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,100,306</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>European Investment Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>09/06/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>599,198</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>08/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>954,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2.625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>11/15/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>933,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>933,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>921,192</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/31/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,010,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,010,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,008,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>4.125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>08/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>810,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>810,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>785,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>U.S. Treasury Notes</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>4.750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>05/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>710,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>710,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>696,909</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>KFW Intl. Finance</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>5.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>06/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>699,940</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>7,765,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="73%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP colspan=3>
<P><FONT SIZE=3><B>Note 5. Commitments</B></FONT>
<BR><BR><FONT SIZE=2><B>Bridge Debt Commitments: </B>At April 30, 2006,
  High Yield and Limited Duration had $2,712,188 and $16,690,389, respectively,
  in commitments outstanding to fund high yield bridge debt. The Trusts are
  entitled to a fee upon the expiration of the commitment period, generally
  within six months of the initial commitment date. The bridge debt terms
  approximate market rates at the time the commitment is entered into.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>

<TD VALIGN=TOP COlspan=3>
<P><FONT SIZE=3><B>Note 6. Income
  Tax Information</B></FONT><BR><BR><FONT SIZE=2>The tax
  character of distributions paid during the year ended October 31, 2005 were
  as follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="44%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="12" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Year ended October 31, 2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="12" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Distributions
  Paid from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Ordinary<BR>
  Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Non-taxable<BR>
  Return of Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Long-term<BR>
  Capital Gains</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Total<BR>
  Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="40%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,271,251</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>525,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,796,316</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>27,245,722</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>9,450,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>36,696,629</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,087,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>5,087,371</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>28,509,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>8,926,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>37,436,482</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>30,667,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>4,798,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>35,465,482</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>52,882,982</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,634,766</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>54,517,748</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>7,935,935</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>1,898,203</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>9,834,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For
Federal income tax purposes, the following Trusts had capital loss
carryforwards as of their last respective tax year end. These amounts may be
used to offset future realized capital gains, if any:</FONT></P>

<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:48%">

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Capital Loss<BR>
  Carryforward Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;&nbsp;&nbsp;&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Expires</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="20%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Broad
  Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>2,518,895</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>684,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,203,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,558,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>3,270,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>15,159,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>8,468,860</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2010</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>4,771,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>316,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>34,545,146</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

</DIV>

<DIV STYLE="POSITION:RELATIVE;FLOAT:LEFT;WIDTH:5%">
</DIV>

<DIV STYLE="POSITION:RELATIVE;FLOAT:RIGHT;WIDTH:47%">
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="68%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Capital Loss<BR>
  Carryforward Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;&nbsp;&nbsp;&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Expires</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="20%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>33,107,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>1,352,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2008</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>13,940,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>21,960,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>10,100,201</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>3,861,222</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>84,323,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Limited
  Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>2,008,113</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Strategic
  Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>432,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>318,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>751,205</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<HR SIZE=3 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=RIGHT>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

</DIV>
<BR>
<BR CLEAR=ALL>
<BR>
<P ALIGN=CENTER><FONT SIZE=2>90</FONT></P>

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

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="73%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP Colspan=3>
<P><FONT SIZE=3><B>Note 7. Capital</B></FONT><BR><BR><FONT SIZE=2>There are
  200 million of $0.01 par value common shares authorized for each of the Broad
  Investment Grade, Income Opportunity and Income Trusts. There are an
  unlimited number of $0.001 par value common shares authorized for Core Bond,
  High Yield, Limited Duration and Strategic Bond. At April 30, 2006, the
  shares owned by affiliates of the Advisor of Limited Duration were 6,021.</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During
the six months ended April 30, 2006, High Yield issued additional shares under
its dividend reinvestment plan of 1,921. During the year ended October 31,
2005, High Yield, Income Trust, Limited Duration and Strategic Bond issued
additional shares under their dividend reinvestment plans of 7,498, 227,068,
41,211, and 9,684, respectively.</FONT></P>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="23%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="73%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>


<TD VALIGN=TOP colspan=3>
<P><FONT SIZE=3><B>Note 8. Dividends</B></FONT><BR><BR><FONT SIZE=2>Subsequent
  to April 30, 2006, the Board of each of the Trusts declared dividends per
  common share payable May 31, 2006 to shareholders of record on May 15, 2006.
  The per share common dividends declared were as follows:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="22%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1><B>Common Dividend<BR>
  Per Share</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="25%" NOSHADE COLOR=BLACK ALIGN=LEFT>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Broad
  Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.075000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.077100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.055333</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income
  Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.061900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.036787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Limited
  Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.121800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Strategic
  Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.088000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P ALIGN=CENTER><FONT SIZE=2>91</FONT></P>

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


<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="100%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><A NAME="A010"></A><FONT SIZE=3><B>DIVIDEND
  REINVESTMENT PLANS</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant to each Trust&#146;s
respective Dividend Reinvestment Plan (the &#147;Plan&#148;), shareholders of Broad
Investment Grade, Income Opportunity and Income Trust may elect, while
shareholders of Core Bond, High Yield, Limited Duration and Strategic Bond are
automatically enrolled, to have all distributions of dividends and capital
gains reinvested by Computershare Trust Company, N.A. (the &#147;Plan Agent&#148;) in the
respective Trust&#146;s shares pursuant to the Plan. Shareholders who do not participate
in the Plan will receive all distributions in cash paid by check and mailed
directly to the shareholders of record (or if the shares are held in street or
other nominee name, then to the nominee) by the Plan Agent, which serves as
agent for the shareholders in administering the Plan.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;After
Broad Investment Grade and/or Income Opportunity Trust declares a dividend or
determines to make a capital gain distribution, the Plan Agent will acquire
shares for the participants&#146; account, by the purchase of outstanding shares on
the open market, on the Trust&#146;s primary exchange or elsewhere (&#147;open market
purchases&#148;). The Trust will not issue any new shares under the Plan.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;After
Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond
declares a dividend or determines to make a capital gain distribution, the Plan
Agent will acquire shares for the participants&#146; account, depending upon the
circumstances described below, either (i) through receipt of unissued but
authorized shares from the Trust (&#147;newly issued shares&#148;) or (ii) by open market
purchases. If, on the dividend payment date, the NAV is equal to or less than
the market price per share plus estimated brokerage commissions (such condition
being referred to herein as &#147;market premium&#148;), the Plan Agent will invest the
dividend amount in newly issued shares on behalf of the participants. The
number of newly issued shares to be credited to each participant&#146;s account will
be determined by dividing the dollar amount of the dividend by the NAV on the
date the shares are issued. However, if the NAV is less than 95% of the market
price on the payment date, the dollar amount of the dividend will be divided by
95% of the market price on the payment date. If, on the dividend payment date,
the NAV is greater than the market value per share plus estimated brokerage
commissions (such condition being referred to herein as &#147;market discount&#148;), the
Plan Agent will invest the dividend amount in shares acquired on behalf of the
participants in open-market purchases.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Plan Agent&#146;s fees for the handling of the reinvestment of dividends and
distributions will be paid by each Trust. However, each participant will pay a
pro rata share of brokerage commissions incurred with respect to the Plan
Agent&#146;s open market purchases in connection with the reinvestment of dividends
and distributions. The automatic reinvestment of dividends and distributions
will not relieve participants of any Federal income tax that may be payable on
such dividends or distributions.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
Trust reserves the right to amend or terminate the Plan. There is no direct
service charge to participants in the Plan; however, each Trust reserves the
right to amend the Plan to include a service charge payable by the participants.
Participants who request a sale of shares through the Plan Agent are subject to
a $2.50 sales fee and a $0.15 per share sold brokerage commisson. All
correspondence concerning the Plan should be directed to the Plan Agent at 250
Royall Street, Canton, MA 02021 or (800) 699-1BFM.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>92</FONT></P>

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

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="100%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><A NAME="A011"></A><FONT SIZE=3><B>ADDITIONAL
  INFORMATION</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On
February 15, 2006, BlackRock, Inc. (&#147;BlackRock&#148;) and Merrill Lynch &amp; Co.,
Inc. (&#147;Merrill Lynch&#148;) announced that they had entered into an agreement
pursuant to which Merrill Lynch would contribute its investment management
business, Merrill Lynch Investment Managers, to BlackRock, one of the largest
publicly traded investment management firms in the United States, to form a new
asset management company that will be one of the world&#146;s preeminent,
diversified global money management organizations with approximately $1
trillion in assets under management. Based in New York, BlackRock currently
manages assets for institutional and individual investors worldwide through a
variety of equity, fixed income, cash management and alternative investment
products. The new company will operate under the BlackRock name and be governed
by a board of directors with a majority of independent members. The new company
will offer a full range of equity, fixed income, cash management and
alternative investment products with strong representation in both retail and
institutional channels, in the U.S. and in non-U.S. markets. It will have over
4,500 employees in 18 countries and a major presence in most key markets,
including the United States, the United Kingdom, Asia, Australia, the Middle
East and Europe. Merrill Lynch will own no more than 49.8% of the total issued
and outstanding capital stock of the new company and it will own no more than
45% of the new company&#146;s common stock, and The PNC Financial Services Group,
Inc. (&#147;PNC&#148;), which currently holds a majority interest in BlackRock, will
retain approximately 34% of the new company&#146;s common stock. Each of Merrill
Lynch and PNC has agreed that it will vote all of its shares on all matters in
accordance with the recommendation of BlackRock&#146;s board. Completion of the
transaction is subject to various regulatory approvals, client consents,
approval by BlackRock shareholders and customary conditions. The transaction
has been approved by the boards of directors of Merrill Lynch, BlackRock and
PNC and is expected to close at the end of the third quarter of 2006.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts listed for trading on the New York Stock Exchange (NYSE) has filed with
the NYSE its chief executive officer certification regarding compliance with
the NYSE&#146;s listing standards and each Trust listed for trading on the American
Stock Exchange (AMEX) has filed with the AMEX its corporate governance
certification regarding compliance with the AMEX&#146;s listing standards. All of
the Trusts have filed with the Securities and Exchange Commission the
certification of its chief executive officer and chief financial officer
required by section 302 of the Sarbanes-Oxley Act.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trusts do not make available copies of their respective Statements of
Additional Information because the Trusts&#146;share are not continuously offered,
which means that the Statement of Additional Information of each Trust has not
been updated after completion of such Trust&#146;s offering and the information
contained in each Trust&#146;s Statement of Additional Information may have become
outdated.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;During
the period, there were no material changes in the Trusts&#146; investment objective
or policies or to their charters or by-laws that have not been approved by
shareholders or in the principal risk factors associated with investment in the
Trusts. There have been no changes in the persons who are primarily responsible
for the day-to-day management of the Trusts&#146; portfolio.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Quarterly
performance and other information regarding the Trusts may be found on
BlackRock&#146;s website, which can be accessed at
http://www.blackrock.com/indiv/products/closedendfunds/funds.html. This
reference to BlackRock&#146;s website is intended to allow investors public access
to information regarding the Trusts and does not, and is not intended, to
incorporate BlackRock&#146;s website into this report.</FONT></P>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Certain
officers of the Trusts listed on the inside back cover of this Report to Shareholders
are also officers of the Advisor or Sub-Advisor. They serve in the following
capacities for the Advisor or Sub-Advisor: Robert S. Kapito&#151;Director and Vice
Chairman of the Advisor and the Sub-Advisor, Henry Gabbay, Anne Ackerley and
Bartholomew Battista&#151;Managing Directors of the Advisor and the Sub-Advisor,
James Kong and Vincent Tritto&#151;Managing Directors of the Sub-Advisor, and Jeff
Gary and Brian P. Kindelan&#151;Managing Director of the Advisor.</FONT></P>

<P ALIGN=CENTER><FONT SIZE=2>93</FONT></P>

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

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="100%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=CENTER><A NAME="A012"></A><FONT SIZE=3><B>SECTION
  19 NOTICES</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=GRAY ALIGN=CENTER>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Set
forth below is a summary of notices sent by each Trust, if any, pursuant to
Section 19 of the Invesment Company Act of 1940. Section 19 requires each Trust
to accompany dividend payments with a notice if any part of that payment is
from a source other than accumulated net income, not including profits or
losses from the sale of securities or other properties. These notices are not
for tax reporting purposes and were provided only for informational purposes in
order to comply with the requirements of Section 19 of the Investment Company
Act of 1940. In January 2007, after the completion of each Trust&#146;s tax year,
shareholders will receive a Form 1099-DIV which will reflect the amount of
income, capital gain and return of capital paid by the Trust taxable in
calendar year 2006 and reportable on your 2006 federal and other income tax
returns.</FONT></P>



<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="31%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=2><B>from
  proceeds</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Total</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=2><B>Net
  Investment</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>from the
  sale</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>from
  return</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>of
  securities</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2><B>of capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<HR SIZE=1 WIDTH="100%" NOSHADE COLOR=BLACK ALIGN=CENTER>

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Nov-05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.07710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.05490</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.02220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Dec-05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.07710</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.06824</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.00886</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Dec-05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.26057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.26057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Apr-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.07710</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.05028</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.02682</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Feb-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.05533</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.05037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.00496</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Dec-05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.26057</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.26057</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Mar-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.03679</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.03469</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.00210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Apr-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.03679</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.02674</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.01005</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2>Feb-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.08800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.06096</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2>0.02704</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2>Mar-06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.08800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.04932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2>0.03868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>


<P ALIGN=CENTER><FONT SIZE=2>94</FONT></P>

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

<P ALIGN=CENTER><FONT SIZE="2">[THIS PAGE INTENTIONALLY LEFT BLANK] </FONT></P>

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

<P ALIGN=CENTER><FONT SIZE=6>BlackRock
Closed-End Funds</FONT></P>

<TABLE ALIGN=CENTER  BORdER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="48%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="48%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Directors/Trustees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Transfer Agent</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Ralph L. Schlosstein, <I>Chairman</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Computershare Trust Company, N.A.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Andrew F. Brimmer, <I>Lead Trustee</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>250 Royall Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Richard E. Cavanagh</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Canton, MA 02021</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Kent Dixon</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>(800) 699-1BFM</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Frank J. Fabozzi</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Independent Registered Public Accounting Firm</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>R. Glenn Hubbard</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Deloitte &amp; Touche LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Robert S. Kapito</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>200 Berkeley Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Officers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Boston, MA 02116</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Robert S. Kapito, <I>President</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Legal Counsel</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Henry Gabbay, <I>Treasurer</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Skadden, Arps, Slate, Meagher &amp; Flom
LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Bartholomew Battista, <I>Chief
  Compliance Officer</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>4 Times Square</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Anne Ackerley, <I>Vice President</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>New York, NY 10036</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Jeff Gary, <I>Vice President</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Legal Counsel &#150; Independent Directors/Trustees</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>James Kong, <I>Assistant Treasurer</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Debevoise &amp; Plimpton LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Vincent B. Tritto, <I>Secretary</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>919 Third Avenue</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Brian P. Kindelan, <I>Assistant
  Secretary</I></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>New York, NY 10022</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Investment Advisor</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD ROWSPAN="4" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;TEXT-INDENT:8.65PT'><FONT SIZE=2>This
  report is for shareholder information. This is not a prospectus intended for
  use in the purchase or sale of Trust shares. Statements and other information
  contained in this report are as dated and are subject to change.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BlackRock Advisors, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>100 Bellevue Parkway</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Wilmington, DE 19809</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>(800) 227-7BFM</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Sub-Advisor<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>BlackRock Closed-End Funds</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>BlackRock Financial Management, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>c/o BlackRock Advisors,
  Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>40 East 52nd Street</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>100 Bellevue Parkway</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>New York, NY 10022</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>Wilmington, DE 19809</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=3>Accounting Agent and Custodian</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>(800) 227-7BFM</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>State Street Bank and Trust Company</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>2 Avenue de Lafayette</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=2>Boston, MA 02111</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

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



<TR>
<TD VALIGN=BOTTOM>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT SIZE=1>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE="1"><SUP>1</SUP>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For Core Bond, Limited Duration and Strategic Bond. </FONT> </P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<P><FONT SIZE=2>The Trusts will mail only
one copy of shareholder documents, including annual and semi-annual reports and
proxy statements, to shareholders with multiple accounts at the same address.
This practice is commonly called &#147;householding&#148; and is intended to reduce
expenses and eliminate duplicate mailings of shareholder documents. Mailings of
your shareholder documents may be householded indefinitely unless you instruct
us otherwise. If you do not want the mailing of these documents to be combined
with those for other members of your household, please contact the Trusts at
(800) 699-1BFM.</FONT></P>

<P><FONT SIZE=2>The Trusts have delegated to
the Advisor the voting of proxies relating to their voting securities pursuant
to the Advisor&#146;s proxy voting policies and procedures. You may obtain a copy of
these proxy voting policies and procedures, without charge, by calling (800)
699-1BFM. These policies and procedures are also available on the website of
the Securities and Exchange Commission (the &#147;Commission&#148;) at
http://www.sec.gov.</FONT></P>

<P><FONT SIZE=2>Information on how proxies
relating to the Trusts&#146; voting securities were voted (if any) by the Advisor
during the most recent 12-month period ended June 30th is available without
charge, upon request, by calling (800) 699-1BFM or on the website of the
Commission at http://www.sec.gov.</FONT></P>

<P><FONT SIZE=2>The Trusts file their
complete schedule of portfolio holdings for the first and third quarters of
their respective fiscal years with the Commission on Form N-Q. Each Trust&#146;s
Form N-Q will be available on the Commission&#146;s website at http://www.sec.gov.
Each Trust&#146;s Form N-Q may be reviewed and copied at the Commission&#146;s Public
Reference Room in Washington, D.C. Information regarding the operation of the
Public Reference Room may be obtained by calling 1-800-SEC-0330. Each Trust&#146;s
Form N-Q may also be obtained, upon request, by calling (800) 699-1BFM.</FONT></P>

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



<TABLE ALIGN=CENTER  BORdER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px" >
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>This report is for
  shareholder information. This is not a prospectus intended for use in the
  purchase or sale of Trust shares. Statements and other information contained
  in this report are as dated and are subject to change.</FONT></P>
</TD>
<TD ROWSPAN="3" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2><IMG SRC="c42231001.jpg" ALT="(BLACKROCK LOGO)"></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>CEF-SEMI-3</FONT></P>
</TD>
</TR>
</TABLE>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4>
<P align="left" style="page-break-before:always"></P><PAGE>

<P>
<B><FONT face="serif">Item 2. Code of Ethics.</FONT></B><FONT face="serif"> <br>
</FONT><FONT face="serif">Not applicable for semi-annual reports. </FONT></P>
<P>
<B><FONT face="serif">Item 3. Audit Committee Financial Expert.</FONT></B><FONT face="serif"> <br>
Not applicable for semi-annual reports. </FONT></P>
<P>
<B><FONT face="serif">Item 4. Principal Accountant Fees and Services. <br>
</FONT></B><FONT face="serif">Not applicable for semi-annual reports. </FONT></P>
<P>
<B><FONT face="serif">Item 5. Audit Committee of Listed Registrants.</FONT></B><FONT face="serif"> <br>
Not applicable for semi-annual reports. </FONT></P>
<P>
<B><FONT face="serif">Item 6. Schedule of Investments. <br>
</FONT></B><FONT face="serif">The
Registrant&#146;s Schedule of Investments is included as part of the Report to
Stockholders filed under Item 1 of this Form. </FONT></P>
<P>
<B><FONT face="serif">Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. <br>
</FONT></B><FONT face="serif">Not applicable for semi-annual reports. </FONT></P>
<P>
<B><FONT face="serif">Item 8. Portfolio Managers of Closed-End Management Investment Companies. <br>
</FONT></B><FONT face="serif">Not applicable for semi-annual reports.</FONT></P>
<P>
<B><FONT face="serif">Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. <br>
</FONT></B><FONT face="serif">No such purchases were made during the period covered by this report. </FONT></P>
<P>
<B><FONT face="serif">Item 10. Submission of Matters to a Vote of Security Holders. <br>
</FONT></B><FONT face="serif">No matters were voted on by shareholders during the period covered by this report. </FONT></P>
<P>
<B><FONT face="serif">Item 11. Controls and Procedures.</FONT></B><FONT face="serif"> </FONT><FONT face="serif">(a)
The Registrant's principal executive officer and principal financial officer
have evaluated the Registrant's disclosure controls and procedures within 90
days of this filing and have concluded, as of that date, that the Registrant&#146;s disclosure controls and procedures were reasonably designed to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported within the required time periods
and that information required to be disclosed by the Registrant in this Form N-CSR was accumulated and communicated to the Registrant&#146;s
management, including its principal executive and principal financial officers,
as appropriate to allow timely decisions regarding required disclosure. </FONT></P>
<P>
<FONT face="serif">(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a -3(d))) that occurred during the Registrant&#146;s
last fiscal half-year that has materially affected, or is reasonably likely to
materially affect, the Registrant's internal control over financial reporting. </FONT></P>
<P> <B><FONT face="serif">Item 12. Exhibits.</FONT></B><FONT face="serif"> </FONT></P>
<P> <FONT face="serif">(a) (1) Not applicable. </FONT></P>
<P> <FONT face="serif">(a) (2) Separate certifications of the Principal Executive
    and Financial Officers pursuant to Rule 30a-2(a) under the Investment Company
    Act of 1940 and Section 302 of the Sarbanes-Oxley Act of 2002 furnished as
    EX-99.CERT. </FONT></P>
<P> <FONT face="serif">(b) Certification of Principal Executive and Financial
    Officers pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
    and Section 906 of the Sarbanes-Oxley Act of 2002 furnished as EX-99.906
    CERT. </FONT></P>
<P align="center"> <FONT face="serif">2 </FONT></P>
<HR noshade  width="100%" size=4>

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


<P align="center">
<B><FONT face="serif">SIGNATURES</FONT></B><FONT face="serif"> </FONT></P>
<P>
<FONT face="serif"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
</FONT></P>
<FONT face="serif">(Registrant) &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Income Trust, Inc.</FONT><BR>
<FONT face="serif"><br>
By: <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;/s/ Henry Gabbay&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </u></FONT><BR>
<FONT face="serif">Name: Henry Gabbay </FONT><BR>
<FONT face="serif">Title: Treasurer </FONT><BR>
<FONT face="serif">Date: July 6, 2006 </FONT><BR>
<P>
<FONT face="serif"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates
indicated. </FONT></P>
<FONT face="serif">By: <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;/s/ Robert S. Kapito&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u> </FONT><BR>
<FONT face="serif">Name: Robert S. Kapito </FONT><BR>
<FONT face="serif">Title: Principal Executive Officer </FONT><BR>
<FONT face="serif">Date: July 6, 2006 </FONT><br>
<BR>
<FONT face="serif">By: <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;/s/ Henry Gabbay&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u></FONT><BR>
<FONT face="serif">Name: Henry Gabbay </FONT><BR>
<FONT face="serif">Title: Principal Financial Officer </FONT><BR>
<FONT face="serif">Date: July 6, 2006 </FONT><BR>
<P align="center">
<font face="serif">3</font></P>

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end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>5
<FILENAME>c43027_ex99-cert.htm
<TEXT>

<HTML>
<HEAD>
   <TITLE></TITLE>
</HEAD>

<BODY bgcolor="#ffffff">


<P>
<B><FONT face="serif">EX-99.CERT </FONT></B></P>
<P>
<B><FONT face="serif">CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER </FONT></B></P>
<P>
<B><U><FONT face="serif">CERTIFICATIONS</FONT></U></B><B><FONT face="serif"> </FONT></B></P>
<P>
<FONT face="serif">I, Robert Kapito, certify that: </FONT></P>
<P>
<FONT face="serif">1. I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.; </FONT></P>
<P>
<FONT face="serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report; </FONT></P>
<P>
<FONT face="serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash
flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; </FONT></P>
<P>
<FONT face="serif">4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: </FONT></P>
<P>
<FONT face="serif">(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; </FONT></P>
<P>
<FONT face="serif">(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P>
<FONT face="serif">(c) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days
prior to the filing date of this report based on such evaluation; and</FONT><FONT size=2 face="sans-serif"> </FONT></P>
<P>
<FONT face="serif">(d) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant&#146;s second fiscal quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and </FONT></P>
<P>
<FONT face="serif">5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): </FONT></P>
<P>
<FONT face="serif">(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process,
summarize, and report financial information; and </FONT></P>
<P>
<FONT face="serif">(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. </FONT></P>
<P>
<FONT face="serif">Date: July 6, 2006 </FONT></P>
<FONT face="serif"> <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;/s/ Robert S. Kapito&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u> </FONT><BR>
<FONT face="serif">Robert S. Kapito </FONT><BR>
<FONT face="serif">Principal Executive Officer </FONT><BR>
<P>&nbsp;</P>

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

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


<P>
<B><FONT face="serif">EX-99.CERT </FONT></B></P>
<P>
<B><FONT face="serif">CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER </FONT></B></P>
<P>
<B><U><FONT face="serif">CERTIFICATIONS</FONT></U></B><B><FONT face="serif"> </FONT></B></P>
<P>
<FONT face="serif">I, Henry Gabbay, certify that: </FONT></P>
<P>
<FONT face="serif">1. I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.; </FONT></P>
<P>
<FONT face="serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report; </FONT></P>
<P>
<FONT face="serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash
flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; </FONT></P>
<P>
<FONT face="serif">4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: </FONT></P>
<P>
<FONT face="serif">(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; </FONT></P>
<P>
<FONT face="serif">(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P>
<FONT face="serif">(c) Evaluated the effectiveness of the Registrant's disclosure
controls and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date within
90 days  prior to the filing date of this report based on such evaluation; and</FONT></P>
<P>
<FONT face="serif">(d) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant&#146;s second fiscal quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and </FONT></P>
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<FONT face="serif">5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): </FONT></P>
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<FONT face="serif">(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process,
summarize, and report financial information; and </FONT></P>
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<FONT face="serif">(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. </FONT></P>
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<FONT face="serif">Date: July 6, 2006 </FONT></P>
<FONT face="serif"> <u>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;/s/ Henry Gabbay&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u> </FONT><BR>
<FONT face="serif">Henry Gabbay </FONT><BR>
<FONT face="serif">Principal Financial Officer </FONT><BR>
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<B><U><FONT face="serif">SECTION 906 CERTIFICATION</FONT></U></B><FONT face="serif"> </FONT></P>
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<FONT face="serif">Pursuant to 18 U.S.C. &sect; 1350, the undersigned officers of BlackRock Income Trust, Inc. (the "Company"), hereby certify, to the best of their knowledge, that the Company's Report on Form N-CSR for the
period ended April 30, 2006 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material
respects, the financial condition and results of operations of the Company. </FONT></P>
<p><FONT face="serif">Dated: July 6, 2006 </FONT><BR>
    <FONT face="serif"><u><br>
  /s/ Robert S. Kapito&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u> </FONT><BR>
    <FONT face="serif">Name: Robert S. Kapito<br>
Title: Principal Executive Officer</FONT></p>
<p><BR>
<FONT face="serif"><u>/s/ Henry Gabbay&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u> </FONT><BR>
<FONT face="serif">Name: Henry Gabbay<br>
</FONT><FONT face="serif">Title: Principal Financial Officer </FONT><BR>
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